Interest Rates

Data - Fred

Author

François Geerolf

Info

source dataset .html .RData
fred r 2024-12-22 2024-12-22

Data on interest rates

source dataset .html .RData
bdf FM 2024-12-22 2024-12-22
bdf MIR 2024-07-26 2024-07-01
bdf MIR1 2024-11-29 2024-12-09
bis CBPOL_D 2024-12-22 2024-05-10
bis CBPOL_M 2024-12-22 2024-04-19
ecb FM 2024-12-22 2024-12-22
ecb MIR 2024-06-19 2024-12-22
eurostat ei_mfir_m 2024-12-22 2024-12-22
eurostat irt_lt_mcby_d 2024-12-22 2024-12-22
eurostat irt_st_m 2024-12-22 2024-12-22
fred r 2024-12-22 2024-12-22
oecd MEI 2024-04-16 2024-06-30
oecd MEI_FIN 2024-09-15 2024-12-22
wdi FR.INR.RINR 2024-12-22 2024-12-22

Data on housing

source dataset .html .RData
bdf RPP 2024-11-19 2024-11-19
bis LONG_PP 2024-08-09 2024-05-10
bis SELECTED_PP 2024-10-31 2024-10-31
ecb RPP 2024-10-08 2024-10-30
eurostat ei_hppi_q 2024-11-23 2024-11-23
eurostat hbs_str_t223 2024-11-23 2024-11-23
eurostat prc_hicp_midx 2024-11-01 2024-12-22
eurostat prc_hpi_q 2024-11-22 2024-10-09
fred housing 2024-12-22 2024-12-22
insee IPLA-IPLNA-2015 2024-12-22 2024-12-22
oecd housing 2024-09-15 2020-01-18
oecd SNA_TABLE5 2024-09-11 2023-10-19

LAST_COMPILE

LAST_COMPILE
2024-12-22

Last

date Nobs
2024-12-23 1

variable

Code 
r %>%
  left_join(variable, by = "variable") %>%
  group_by(variable, Variable) %>%
  arrange(desc(date)) %>%
  summarise(Nobs = n(),
            date = date[1],
            Last = value[1]) %>%
  arrange(desc(date)) %>%
  print_table_conditional()

Mortgage Rates - 30-year, 15-year, FedFunds

All-

Code 
r %>%
  filter(variable %in% c("MORTGAGE30US", "MORTGAGE15US", "EFFR")) %>%
  left_join(variable, by = "variable") %>%
  ggplot(.) + ylab("Treasury Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable)) +
  
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("1973-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.title = element_blank(),
        legend.position = c(0.7, 0.9)) +
  scale_x_date(breaks = as.Date(paste0(seq(1960, 2025, 5), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = seq(-0.01, 0.22, 0.01),
                     labels = scales::percent_format(accuracy = 1))

2000-

Code 
r %>%
  filter(variable %in% c("MORTGAGE30US", "MORTGAGE15US", "EFFR"),
         date >= as.Date("2000-01-01")) %>%
  left_join(variable, by = "variable") %>%
  arrange(desc(date)) %>%
  ggplot(.) + ylab("Mortgage rate or Fed Funds rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable)) +
  
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("2000-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.title = element_blank(),
        legend.position = c(0.7, 0.9)) +
  scale_x_date(breaks = as.Date(paste0(seq(1990, 2100, 2), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = seq(-0.01, 0.12, 0.01),
                     labels = scales::percent_format(accuracy = 1))

2010-

Code 
r %>%
  filter(variable %in% c("MORTGAGE30US", "MORTGAGE15US", "EFFR"),
         date >= as.Date("2010-01-01")) %>%
  arrange(desc(date)) %>%
  left_join(variable, by = "variable") %>%
  ggplot(.) + ylab("Fixed Rate Mortgage Average (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable)) +
  
  theme(legend.title = element_blank(),
        legend.position = c(0.6, 0.95)) +
  scale_x_date(breaks = as.Date(paste0(seq(1990, 2100, 2), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = seq(-0.01, 0.12, 0.005),
                     labels = scales::percent_format(accuracy = 0.1))

ECB Rates

All-

Code 
r %>%
  filter(variable %in% c("ECBDFR", "ECBMRRFR", "ECBMLFR")) %>%
  left_join(variable, by = "variable") %>%
  ggplot(.) + ylab("Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable)) +
  
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("1999-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.title = element_blank(),
        legend.position = c(0.6, 0.9)) +
  scale_x_date(breaks = as.Date(paste0(seq(1960, 2025, 5), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = seq(-0.01, 0.22, 0.01),
                     labels = scales::percent_format(accuracy = 1))

2000-

Code 
r %>%
  filter(variable %in% c("ECBDFR", "ECBMRRFR", "ECBMLFR"),
         date >= as.Date("2000-01-01")) %>%
  left_join(variable, by = "variable") %>%
  arrange(desc(date)) %>%
  ggplot(.) + ylab("Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable)) +
  
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("2000-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.title = element_blank(),
        legend.position = c(0.6, 0.9)) +
  scale_x_date(breaks = as.Date(paste0(seq(1990, 2100, 2), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = seq(-0.01, 0.12, 0.01),
                     labels = scales::percent_format(accuracy = 1))

2010-

Code 
r %>%
  filter(variable %in% c("ECBDFR", "ECBMRRFR", "ECBMLFR"),
         date >= as.Date("2010-01-01")) %>%
  arrange(desc(date)) %>%
  left_join(variable, by = "variable") %>%
  ggplot(.) + ylab("Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable)) +
  
  theme(legend.title = element_blank(),
        legend.position = c(0.6, 0.95)) +
  scale_x_date(breaks = as.Date(paste0(seq(1990, 2100, 2), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = seq(-0.01, 0.12, 0.005),
                     labels = scales::percent_format(accuracy = 0.1))

10-Year Nominal Yield

France, Germany, Japan

2016 -

Code 
r %>%
  filter(variable %in% c("IRLTLT01DEM156N", "IRLTLT01JPM156N", "IRLTLT01FRM156N")) %>%
  mutate(Variable  = case_when(variable == "IRLTLT01DEM156N" ~ "Germany: 10-Year Nominal Yield",
                               variable == "IRLTLT01JPM156N" ~ "Japan: 10-Year Nominal Yield",
                               variable == "IRLTLT01FRM156N" ~ "France: 10-Year Nominal Yield")) %>%
  filter(date >= as.Date("2016-01-01")) %>%
  ggplot(.) + xlab("") + ylab("10-Year Nominal Government Bond (%)") + theme_minimal() +
  geom_line(aes(x = date, y = value / 100, color = Variable)) +
  scale_color_manual(values = c("#002395", "#000000", "#BC002D")) +
  theme(legend.title = element_blank(),
        legend.position = c(0.25, 0.85)) +
  scale_x_date(breaks = seq(1870, 2100, 1) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-2, 10, 0.5),
                     labels = scales::percent_format(accuracy = 0.1))

All

Code 
r %>%
  filter(variable %in% c("IRLTLT01DEM156N", "IRLTLT01JPM156N", "IRLTLT01FRM156N")) %>%
  select(date, value, variable = variable) %>%
  mutate(Variable  = case_when(variable == "IRLTLT01DEM156N" ~ "Germany: 10-Year Nominal Yield",
                               variable == "IRLTLT01JPM156N" ~ "Japan: 10-Year Nominal Yield",
                               variable == "IRLTLT01FRM156N" ~ "France: 10-Year Nominal Yield")) %>%
  ggplot(.) + xlab("") + ylab("10-Year Nominal Government Bond (%)") + theme_minimal() +
  geom_line(aes(x = date, y = value / 100, color = Variable)) +
  scale_color_manual(values = c("#002395", "#000000", "#BC002D")) +
  theme(legend.title = element_blank(),
        legend.position = c(0.25, 0.15)) +
  scale_x_date(breaks = seq(1870, 2022, 5) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-2, 40, 2),
                     labels = scales::percent_format(accuracy = 1))

Germany, Japan

Code 
r %>%
  filter(variable %in% c("IRLTLT01DEM156N", "IRLTLT01JPM156N")) %>%
  select(date, value, variable = variable) %>%
  mutate(value = value / 100,
         Variable  = case_when(variable == "IRLTLT01DEM156N" ~ "Germany: 10-Year Nominal Yield",
                                    variable == "IRLTLT01JPM156N" ~ "Japan: 10-Year Nominal Yield")) %>%
  filter(date >= as.Date("2016-01-01")) %>%
  ggplot(data = .) +
  geom_line(aes(x = date, y = value, color = Variable)) +
  labs(x = "Observation Date", y = "Rate") +
  theme_minimal() +
  scale_color_manual(values = c("#000000", "#BC002D")) +
  theme(legend.title = element_blank(),
        legend.position = c(0.2, 0.8)) +
  scale_x_date(breaks = seq(1870, 2030, 1) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-2, 10, 0.2),
                     labels = scales::percent_format(accuracy = 0.1)) + 
  xlab("") + ylab("10-Year Nominal Government Bond Yield")

Mortgage Debt Service Payments (% Disposable Personal Income)

All

Code 
r %>%
  filter(variable %in% c("MDSP")) %>%
  mutate(value = value / 100) %>%
  ggplot(.) + geom_line(aes(x = date, y = value)) + theme_minimal() +
  scale_x_date(breaks = seq(1870, 2022, 5) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) + 
  scale_y_continuous(breaks = 0.01*seq(0, 15, 0.2),
                     labels = scales::percent_format(accuracy = 0.1)) + 
  xlab("") + ylab("% of Disposable Income") + 
  geom_vline(xintercept = as.Date("2008-09-15"), linetype = "dashed", color = viridis(3)[2]) + 
    geom_rect(data = data_frame(start = as.Date("2004-06-01"), 
                                end = as.Date("2007-08-01")), 
              aes(xmin = start, xmax = end, ymin = -Inf, ymax = +Inf), 
              fill = viridis(4)[4], alpha = 0.2) +
    geom_vline(xintercept = as.Date("2004-06-01"), linetype = "dashed", color = viridis(4)[4]) + 
    geom_vline(xintercept = as.Date("2007-08-01"), linetype = "dashed", color = viridis(4)[4])

2000-

Code 
r %>%
  filter(variable %in% c("MDSP"),
         date >= as.Date("1994-01-01")) %>%
  mutate(value = value / 100) %>%
  ggplot(.) + geom_line(aes(x = date, y = value)) + theme_minimal() +
  scale_x_date(breaks = seq(1870, 2100, 2) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) + 
  scale_y_continuous(breaks = 0.01*seq(0, 15, 0.2),
                     labels = scales::percent_format(accuracy = 0.1)) + 
  xlab("") + ylab("Mortgage debt service payments (% of Disposable Income)") + 
  geom_vline(xintercept = as.Date("2008-09-15"), linetype = "dashed", color = viridis(3)[2]) + 
    geom_rect(data = data_frame(start = as.Date("2004-06-01"), 
                                end = as.Date("2007-08-01")), 
              aes(xmin = start, xmax = end, ymin = -Inf, ymax = +Inf), 
              fill = viridis(4)[4], alpha = 0.2) +
    geom_vline(xintercept = as.Date("2004-06-01"), linetype = "dashed", color = viridis(4)[4]) + 
    geom_vline(xintercept = as.Date("2007-08-01"), linetype = "dashed", color = viridis(4)[4])

2000-2012

Code 
r %>%
  filter(variable %in% c("MDSP")) %>%
  filter(date >= as.Date("2000-01-01"), 
         date <= as.Date("2012-01-01")) %>%
  mutate(value = value / 100) %>%
  ggplot(.) + geom_line(aes(x = date, y = value)) + theme_minimal() +
  scale_x_date(breaks = seq(1870, 2100, 1) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) + 
  scale_y_continuous(breaks = 0.01*seq(0, 15, 0.2),
                     labels = scales::percent_format(accuracy = 0.1)) + 
  xlab("") + ylab("% of Disposable Income") + 
  geom_vline(xintercept = as.Date("2008-09-15"), linetype = "dashed", color = viridis(3)[2]) + 
    geom_rect(data = data_frame(start = as.Date("2004-06-01"), 
                                end = as.Date("2007-08-01")), 
              aes(xmin = start, xmax = end, ymin = -Inf, ymax = +Inf), 
              fill = viridis(4)[4], alpha = 0.2) +
    geom_vline(xintercept = as.Date("2004-06-01"), linetype = "dashed", color = viridis(4)[4]) + 
    geom_vline(xintercept = as.Date("2007-08-01"), linetype = "dashed", color = viridis(4)[4])

2002-2012

Code 
r %>%
  filter(variable %in% c("MDSP")) %>%
  filter(date >= as.Date("2002-01-01"), 
         date <= as.Date("2012-01-01")) %>%
  mutate(value = value / 100) %>%
  ggplot(.) + geom_line(aes(x = date, y = value)) + theme_minimal() +
  scale_x_date(breaks = seq(1870, 2100, 1) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) + 
  scale_y_continuous(breaks = 0.01*seq(0, 15, 0.2),
                     labels = scales::percent_format(accuracy = 0.1)) + 
  xlab("") + ylab("Mortgage Debt Service Payments (% of Disp. Income)") + 
  geom_vline(xintercept = as.Date("2008-09-15"), linetype = "dashed", color = viridis(3)[2]) + 
    geom_rect(data = data_frame(start = as.Date("2004-06-01"), 
                                end = as.Date("2007-08-01")), 
              aes(xmin = start, xmax = end, ymin = -Inf, ymax = +Inf), 
              fill = viridis(4)[4], alpha = 0.2) +
    geom_vline(xintercept = as.Date("2004-06-01"), linetype = "dashed", color = viridis(4)[4]) + 
    geom_vline(xintercept = as.Date("2007-08-01"), linetype = "dashed", color = viridis(4)[4])

1990 Hiking Cycle

30-year convential Mortgage Rate

Code 
r %>%
  filter(variable %in% c("MORTGAGE30US"),
         date >= as.Date("1987-01-01"), 
         date <= as.Date("1993-01-01")) %>%
  mutate(value = value / 100) %>%
  ggplot(.) + geom_line(aes(x = date, y = value)) + theme_minimal() +
  scale_x_date(breaks = seq(1870, 2100, 1) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) + 
  scale_y_continuous(breaks = 0.01*seq(0, 30, 0.5),
                     labels = scales::percent_format(accuracy = 0.1)) + 
  xlab("") + ylab("") + 
  geom_vline(xintercept = as.Date("2008-09-15"), linetype = "dashed", color = viridis(3)[2])

Federal Funds Rate (Source: FRED)

Code 
r %>%
  filter(variable %in% c("FEDFUNDS")) %>%
  filter(date >= as.Date("1987-01-01"), 
         date <= as.Date("1993-01-01")) %>%
  mutate(value = value / 100) %>%
  ggplot(.) + geom_line(aes(x = date, y = value)) + theme_minimal() +
  scale_x_date(breaks = seq(1870, 2100, 1) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) + 
  scale_y_continuous(breaks = 0.01*seq(0, 15, 0.5),
                     labels = scales::percent_format(accuracy = 0.5)) + 
  xlab("") + ylab("Federal Funds Rate") + 
  geom_vline(xintercept = as.Date("2008-09-15"), linetype = "dashed", color = viridis(3)[2])

Fed Funds Rate, AAA, BAA

2000

Code 
r %>%
  filter(variable %in% c("FEDFUNDS")) %>%
  filter(date >= as.Date("1994-01-01")) %>%
  mutate(value = value / 100) %>%
  ggplot(.) + geom_line(aes(x = date, y = value)) + theme_minimal() +
  scale_x_date(breaks = seq(1870, 2050, 2) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) + 
  scale_y_continuous(breaks = 0.01*seq(0, 15, 0.5),
                     labels = scales::percent_format(accuracy = 0.5)) + 
  xlab("") + ylab("Federal Funds Rate (%)") + 
  geom_vline(xintercept = as.Date("2008-09-15"), linetype = "dashed", color = viridis(3)[2]) + 
    geom_rect(data = data_frame(start = as.Date("2004-06-01"), 
                                end = as.Date("2007-08-01")), 
              aes(xmin = start, xmax = end, ymin = -Inf, ymax = +Inf), 
              fill = viridis(4)[4], alpha = 0.2) +
    geom_vline(xintercept = as.Date("2004-06-01"), linetype = "dashed", color = viridis(4)[4]) + 
    geom_vline(xintercept = as.Date("2007-08-01"), linetype = "dashed", color = viridis(4)[4])

2002-2007 Hiking Cycle

Code 
r %>%
  filter(variable %in% c("FEDFUNDS")) %>%
  filter(date >= as.Date("2002-01-01"), 
         date <= as.Date("2012-01-01")) %>%
  mutate(value = value / 100) %>%
  ggplot(.) + geom_line(aes(x = date, y = value)) + theme_minimal() +
  scale_x_date(breaks = seq(1870, 2100, 1) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) + 
  scale_y_continuous(breaks = 0.01*seq(0, 15, 0.5),
                     labels = scales::percent_format(accuracy = 0.5)) + 
  xlab("") + ylab("Federal Funds Rate (%)") + 
  geom_vline(xintercept = as.Date("2008-09-15"), linetype = "dashed", color = viridis(3)[2]) + 
    geom_rect(data = data_frame(start = as.Date("2004-06-01"), 
                                end = as.Date("2007-08-01")), 
              aes(xmin = start, xmax = end, ymin = -Inf, ymax = +Inf), 
              fill = viridis(4)[4], alpha = 0.2) +
    geom_vline(xintercept = as.Date("2004-06-01"), linetype = "dashed", color = viridis(4)[4]) + 
    geom_vline(xintercept = as.Date("2007-08-01"), linetype = "dashed", color = viridis(4)[4])

2004-2007 Hiking Cycle

Code 
r %>%
  filter(variable %in% c("FEDFUNDS")) %>%
  filter(date >= as.Date("2004-01-01"), 
         date <= as.Date("2012-01-01")) %>%
  mutate(value = value / 100) %>%
  ggplot(.) + geom_line(aes(x = date, y = value)) + theme_minimal() +
  scale_x_date(breaks = seq(1870, 2100, 1) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) + 
  scale_y_continuous(breaks = 0.01*seq(0, 15, 0.5),
                     labels = scales::percent_format(accuracy = 0.5)) + 
  xlab("") + ylab("Federal Funds Rate") + 
  geom_vline(xintercept = as.Date("2008-09-15"), linetype = "dashed", color = viridis(3)[2]) + 
    geom_rect(data = data_frame(start = as.Date("2004-06-01"), 
                                end = as.Date("2007-08-01")), 
              aes(xmin = start, xmax = end, ymin = -Inf, ymax = +Inf), 
              fill = viridis(4)[4], alpha = 0.2) +
    geom_vline(xintercept = as.Date("2004-06-01"), linetype = "dashed", color = viridis(4)[4]) + 
    geom_vline(xintercept = as.Date("2007-08-01"), linetype = "dashed", color = viridis(4)[4])

2000-2012

Code 
r %>%
  filter(variable %in% c("FEDFUNDS")) %>%
  filter(date >= as.Date("2000-01-01"), 
         date <= as.Date("2012-01-01")) %>%
  mutate(value = value / 100) %>%
  ggplot(.) + geom_line(aes(x = date, y = value)) + theme_minimal() +
  scale_x_date(breaks = seq(1870, 2100, 1) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) + 
  scale_y_continuous(breaks = 0.01*seq(0, 15, 0.5),
                     labels = scales::percent_format(accuracy = 0.5)) + 
  xlab("") + ylab("Federal Funds Rate") + 
  geom_vline(xintercept = as.Date("2008-09-15"), linetype = "dashed", color = viridis(3)[2]) + 
    geom_rect(data = data_frame(start = as.Date("2004-06-01"), 
                                end = as.Date("2007-08-01")), 
              aes(xmin = start, xmax = end, ymin = -Inf, ymax = +Inf), 
              fill = viridis(4)[4], alpha = 0.2) +
    geom_vline(xintercept = as.Date("2004-06-01"), linetype = "dashed", color = viridis(4)[4]) + 
    geom_vline(xintercept = as.Date("2007-08-01"), linetype = "dashed", color = viridis(4)[4])

1920-

Code 
r %>%
  filter(variable %in% c("AAA", "BAA", "FEDFUNDS")) %>%
  left_join(variable, by = "variable") %>%
  ggplot(.) + ylab("Corporate Bond Interest Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable, linetype = Variable)) +
  
  scale_x_date(breaks = as.Date(paste0(seq(1920, 2100, 5), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(0, 30, 2),
                     labels = scales::percent_format(accuracy = 1)) +
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("1920-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.position = c(0.3, 0.8),
        legend.title = element_blank())

1969-

Code 
r %>%
  filter(variable %in% c("AAA", "FEDFUNDS"),
         date >= as.Date("1969-01-01")) %>%
  left_join(variable, by = "variable") %>%
  ggplot(.) + ylab("Interest Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable, linetype = Variable)) +
  
  scale_x_date(breaks = as.Date(paste0(seq(1920, 2100, 5), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(0, 30, 2),
                     labels = scales::percent_format(accuracy = 1)) +
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("1969-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.position = c(0.7, 0.8),
        legend.title = element_blank())

DGS - 10-Year Treasury Rate

All-

Code 
r %>%
  filter(variable %in% c("DGS10", "DGS20", "DGS30")) %>%
  left_join(variable, by = "variable") %>%
  ggplot(.) + ylab("Treasury Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable, linetype = Variable)) +
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("1960-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.title = element_blank(),
        legend.position = c(0.5, 0.9)) +
  scale_x_date(breaks = as.Date(paste0(seq(1960, 2100, 5), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = seq(-0.01, 0.22, 0.01),
                     labels = scales::percent_format(accuracy = 1))

2000-

Code 
r %>%
  filter(variable %in% c("DGS10", "DGS20", "DGS30"),
         date >= as.Date("2000-01-01")) %>%
  left_join(variable, by = "variable") %>%
  ggplot(.) + ylab("Treasury Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable, linetype = Variable)) +
  #
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("2000-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.title = element_blank(),
        legend.position = c(0.5, 0.9)) +
  scale_x_date(breaks = as.Date(paste0(seq(1990, 2100, 2), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = seq(-0.01, 0.12, 0.01),
                     labels = scales::percent_format(accuracy = 1))

2010-

Code 
r %>%
  filter(variable %in% c("DGS10", "DGS20", "DGS30"),
         date >= as.Date("2010-01-01")) %>%
  left_join(variable, by = "variable") %>%
  ggplot(.) + ylab("Treasury Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable, linetype = Variable)) +
  #
  theme(legend.title = element_blank(),
        legend.position = c(0.5, 0.9)) +
  scale_x_date(breaks = as.Date(paste0(seq(1990, 2100, 1), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = seq(-0.01, 0.12, 0.01),
                     labels = scales::percent_format(accuracy = 1))

DFII - Treasury Inflation-Indexed Security

All

Code 
r %>%
  filter(variable %in% c("DFII10", "DFII20", "DFII30")) %>%
  left_join(tibble(variable = c("DFII10", "DFII20", "DFII30"),
                   Variable = c("Inflation Indexed 10-Year",
                                "Inflation Indexed 20-Year",
                                "Inflation Indexed 30-Year")), by = "variable") %>%
  ggplot(.) + ylab("Treasury Inflation-Indexed Security Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable, linetype = Variable)) +
  #
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("2002-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.title = element_blank(),
        legend.position = c(0.7, 0.9)) +
  scale_x_date(breaks = as.Date(paste0(seq(1990, 2100, 2), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = seq(-0.01, 0.12, 0.01),
                     labels = scales::percent_format(accuracy = 1))

2017-

Code 
r %>%
  filter(variable %in% c("DFII10", "DFII20", "DFII30")) %>%
  filter(date >= as.Date("2017-01-01")) %>%
  left_join(tibble(variable = c("DFII10", "DFII20", "DFII30"),
                   Variable = c("Inflation Indexed 10-Year",
                                "Inflation Indexed 20-Year",
                                "Inflation Indexed 30-Year")), by = "variable") %>%
  ggplot(.) + ylab("Treasury Inflation-Indexed Security Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable)) +
  #
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("2017-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.title = element_blank(),
        legend.position = c(0.7, 0.9)) +
  scale_x_date(breaks = as.Date(paste0(seq(1990, 2100, 1), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = seq(-0.01, 0.12, 0.005),
                     labels = scales::percent_format(accuracy = .1))

AAA / BAA Moody’s

1920 -

All

Code 
r %>%
  filter(variable %in% c("AAA", "BAA")) %>%
  left_join(variable, by = "variable") %>%
  ggplot(.) + ylab("Corporate Bond Interest Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable, linetype = Variable)) +
  #
  scale_x_date(breaks = as.Date(paste0(seq(1920, 2025, 10), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(0, 30, 2),
                     labels = scales::percent_format(accuracy = 1),
                     limits = c(0.02, 0.18)) +
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("1920-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.position = c(0.3, 0.8),
        legend.title = element_blank())

AFGAP Graph

  • Association Française des Gestionnaires Actif-Passif - AFGAP. pdf
Code 
r %>%
  filter(variable %in% c("AAA", "BAA")) %>%
  left_join(variable, by = "variable") %>%
  ggplot(.) + ylab("Corporate Bond Interest Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable)) +
  scale_color_manual(values = c("#2D68C4", "#F2A900")) +
  scale_x_date(breaks = as.Date(paste0(seq(1920, 2100, 10), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(0, 30, 2),
                     labels = scales::percent_format(accuracy = 1),
                     limits = c(0.02, 0.18)) +
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("1920-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.position = c(0.3, 0.8),
        legend.title = element_blank())

1980 -

Code 
r %>%
  filter(variable %in% c("AAA", "BAA"),
         date >= as.Date("1980-01-01")) %>%
  left_join(variable, by = "variable") %>%
  filter(date >= as.Date("1980-01-01")) %>%
  ggplot(.) + ylab("U.S. Interest Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable, linetype = Variable)) +
  
  scale_x_date(breaks = as.Date(paste0(seq(1980, 2025, 5), "-01-01")),
               labels = date_format("%Y"),) +
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("1980-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.position = c(0.65, 0.85),
        legend.title = element_blank()) +
  scale_y_continuous(breaks = 0.01*seq(-1, 30, 1),
                     labels = scales::percent_format(accuracy = 1))

2010 -

Code 
r %>%
  filter(variable %in% c("AAA", "BAA"),
         date >= as.Date("2005-01-01")) %>%
  left_join(variable, by = "variable") %>%
  filter(date >= as.Date("1980-01-01")) %>%
  ggplot(.) + ylab("Corporate Bond Yield (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable)) +
  
  scale_x_date(breaks = as.Date(paste0(seq(1980, 2100, 2), "-01-01")),
               labels = date_format("%Y")) +
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("2005-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.position = c(0.65, 0.85),
        legend.title = element_blank()) +
  scale_y_continuous(breaks = 0.01*seq(-1, 30, 1),
                     labels = scales::percent_format(accuracy = 1))

Treasury Yields: AAA, BAA, DGS10, DFII10

All

Code 
r %>%
  filter(variable %in% c("AAA", "BAA", "DGS10", "DFII10"),
         date >= as.Date("1980-01-01")) %>%
  left_join(variable, by = "variable") %>%
  filter(date >= as.Date("1980-01-01")) %>%
  ggplot(.) + ylab("U.S. Interest Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable)) +
  scale_x_date(breaks = as.Date(paste0(seq(1980, 2025, 5), "-01-01")),
               labels = date_format("%Y"),) +
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("1980-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.position = c(0.65, 0.85),
        legend.title = element_blank()) +
  scale_y_continuous(breaks = 0.01*seq(-1, 30, 1),
                     labels = scales::percent_format(accuracy = 1))

AFGAP

  • Association Française des Gestionnaires Actif-Passif - AFGAP. pdf
Code 
r %>%
  filter(variable %in% c("DGS10", "DFII10"),
         date >= as.Date("1980-01-01")) %>%
  left_join(variable, by = "variable") %>%
  filter(date >= as.Date("1980-01-01")) %>%
  ggplot(.) + ylab("U.S. Interest Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable)) +
  scale_color_manual(values = c("#2D68C4", "#F2A900")) +
  scale_x_date(breaks = as.Date(paste0(seq(1980, 2025, 5), "-01-01")),
               labels = date_format("%Y"),) +
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("1980-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.position = c(0.65, 0.85),
        legend.title = element_blank()) +
  scale_y_continuous(breaks = 0.01*seq(-1, 30, 1),
                     labels = scales::percent_format(accuracy = 1))

TIPS

Code 
r %>%
  filter(variable %in% c("DFII10"),
         date >= as.Date("1980-01-01")) %>%
  left_join(variable, by = "variable") %>%
  filter(date >= as.Date("1980-01-01")) %>%
  ggplot(.) + ylab("Treasury Inflation Protected Securities - TIPS (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100)) +
  scale_x_date(breaks = as.Date(paste0(seq(1980, 2100, 2), "-01-01")),
               labels = date_format("%Y"),) +
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("2002-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.position = c(0.65, 0.85),
        legend.title = element_blank()) +
  scale_y_continuous(breaks = 0.01*seq(-1, 30, 1),
                     labels = scales::percent_format(accuracy = 1))

Code 
r %>%
  filter(variable %in% c("AAA", "BAA")) %>%
  left_join(variable, by = "variable") %>%
  filter(date >= as.Date("1980-01-01")) %>%
  ggplot(.) + ylab("Corporate Bond Interest Rate (%)") + xlab("") + theme_minimal() + 
  geom_line(aes(x = date, y = value / 100, color = Variable, linetype = Variable)) +
  
  scale_x_date(breaks = as.Date(paste0(seq(1980, 2025, 5), "-01-01")),
               labels = date_format("%Y"),) +
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("1980-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  theme(legend.position = c(0.45, 0.9),
        legend.title = element_blank()) +
  scale_y_continuous(breaks = 0.01*seq(0, 30, 1),
                     labels = scales::percent_format(accuracy = 1))

2013 Taper Tentrum

30-year convential Mortgage Rate before and after Taper Tantrum

Code 
r %>%
  filter(variable %in% c("MORTGAGE30US")) %>%
  filter(date >= as.Date("2011-01-01"), 
         date <= as.Date("2016-01-01")) %>%
  mutate(value = value / 100) %>%
  ggplot(.) + geom_line(aes(x = date, y = value)) + theme_minimal() +
  scale_x_date(breaks = seq(1870, 2100, 1) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) + 
  scale_y_continuous(breaks = 0.01*seq(0, 15, 0.2),
                     labels = scales::percent_format(accuracy = 0.1)) + 
  xlab("") + ylab("") + 
  geom_vline(xintercept = as.Date("2008-09-15"), linetype = "dashed", color = viridis(3)[2])

Mortgage Debt Service Payments (2011-2016)

Code 
r %>%
  filter(variable %in% c("MDSP")) %>%
  filter(date >= as.Date("2011-01-01"), 
         date <= as.Date("2016-01-01")) %>%
  mutate(value = value / 100) %>%
  ggplot(.) + geom_line(aes(x = date, y = value)) + theme_minimal() +
  scale_x_date(breaks = seq(1870, 2100, 1) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) + 
  scale_y_continuous(breaks = 0.01*seq(0, 15, 0.1),
                     labels = scales::percent_format(accuracy = 0.1)) + 
  xlab("") + ylab("% of Disposable Income") + 
  geom_vline(xintercept = as.Date("2008-09-15"), linetype = "dashed", color = viridis(3)[2])

Policy Interest Rates

U.S. Versus Euro Area Discount Rates

1980-

Code 
r %>%
  filter(variable %in% c("FEDFUNDS", "ECBMLFR"),
         date >= as.Date("1980-01-01")) %>%
  left_join(variable, by = "variable") %>%
  mutate(value = value/100) %>%
  ggplot(.) + theme_minimal() +
  geom_line(aes(x = date, y = value, color = Variable)) +
  
  geom_rect(data = nber_recessions %>%
              filter(Peak >= as.Date("1980-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  scale_x_date(breaks = seq(1870, 2100, 5) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) + 
  scale_y_continuous(breaks = 0.01*seq(-50, 50, 1),
                     labels = scales::percent_format(accuracy = 1)) +
  theme(legend.position = c(0.8, 0.8),
        legend.title = element_blank()) +
  xlab("") + ylab("")

1998-

Code 
r %>%
  filter(variable %in% c("EFFR", "ECBMLFR"),
         date >= as.Date("1998-01-01")) %>%
  left_join(variable, by = "variable") %>%
  mutate(value = value/100) %>%
  ggplot(.) + theme_minimal() +
  geom_line(aes(x = date, y = value, color = Variable)) +
  
  geom_rect(data = nber_recessions %>%
              filter(Peak >= as.Date("1998-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) + 
  scale_x_date(breaks = seq(1870, 2025, 5) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) + 
  scale_y_continuous(breaks = 0.01*seq(-50, 50, 1),
                     labels = scales::percent_format(accuracy = 1)) +
  theme(legend.position = c(0.75, 0.9),
        legend.title = element_blank()) +
  xlab("") + ylab("")

2009-2015

Code 
r %>%
  filter(variable %in% c("FEDFUNDS", "INTDSREZQ193N"),
         date >= as.Date("2009-01-01"),
         date <= as.Date("2014-12-31")) %>%
  mutate(value = value/100,
         Variable = case_when(variable == "INTDSREZQ193N" ~ "Euro Area Discount Rate",
                                   variable == "FEDFUNDS" ~ "U.S. Fed Funds Rate")) %>%
  ggplot(.) + theme_minimal() +
  geom_line(aes(x = date, y = value, color = Variable)) +
  
  scale_x_date(breaks = seq(1870, 2100, 1) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) + 
  scale_y_continuous(breaks = 0.01*seq(-50, 50, 0.5),
                     labels = scales::percent_format(accuracy = .1)) +
  theme(legend.position = c(0.8, 0.8),
        legend.title = element_blank()) +
  xlab("") + ylab("")

Italy

IRLTLT01ITM156N - Italian 10-year Government Bond Yields

Code 
r %>%
  filter(variable == "IRLTLT01ITM156N",
         date >= as.Date("2008-01-01"),
         date <= as.Date("2014-01-01")) %>%
  mutate(value = value / 100) %>%
  ggplot(data = .) +
  geom_line(aes(x = date, y = value)) +
  labs(x = "Observation Date", y = "Rate") +
  theme_minimal() +
  theme(legend.title = element_blank(),
        legend.position = c(0.4, 0.8)) +
  scale_x_date(breaks = as.Date(paste0(seq(1920, 2100, 1), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-1, 20, 0.5),
                     labels = scales::percent_format(accuracy = 0.1)) + 
  xlab("") + ylab("Italian 10-year Government Bond Yields") + 
  geom_vline(xintercept = as.Date("2012-07-01"), color = viridis(3)[2], linetype = "dashed")

Interest Rates

FYOIGDA188S - Interest Payments

Code 
r %>%
  filter(variable == "FYOIGDA188S") %>%
  ggplot(data = .) + geom_line(aes(x = date, y = value / 100)) + theme_minimal() + 
  xlab("") + ylab("U.S. Gvnt Interest Payments (% of GDP)") +
  geom_rect(data = nber_recessions %>%
              filter(Peak > as.Date("1945-01-01")), 
            aes(xmin = Peak, xmax = Trough, ymin = -Inf, ymax = +Inf), 
            fill = 'grey', alpha = 0.5) +
  theme(legend.title = element_blank(),
        legend.position = c(0.4, 0.8)) +
  scale_x_date(breaks = as.Date(paste0(seq(1920, 2100, 10), "-01-01")),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-1, 3.5, 0.25),
                     labels = scales::percent_format(accuracy = 0.05))