Interest Rates
Data - Fred
Info
Data on interest rates
source | dataset | .html | .RData |
---|---|---|---|
bdf | FM | 2024-07-26 | 2024-10-16 |
bdf | MIR | 2024-07-26 | 2024-07-01 |
bdf | MIR1 | 2024-10-16 | 2024-10-16 |
bis | CBPOL_D | 2024-09-13 | 2024-05-10 |
bis | CBPOL_M | 2024-08-09 | 2024-04-19 |
ecb | FM | 2024-10-30 | 2024-11-01 |
ecb | MIR | 2024-06-19 | 2024-10-30 |
eurostat | ei_mfir_m | 2024-11-05 | 2024-10-08 |
eurostat | irt_lt_mcby_d | 2024-11-05 | 2024-08-28 |
eurostat | irt_st_m | 2024-11-05 | 2024-10-08 |
fred | r | 2024-11-01 | 2024-11-07 |
oecd | MEI | 2024-04-16 | 2024-06-30 |
oecd | MEI_FIN | 2024-09-15 | 2024-05-21 |
wdi | FR.INR.RINR | 2024-08-28 | 2024-09-18 |
Data on housing
source | dataset | .html | .RData |
---|---|---|---|
bdf | RPP | 2024-07-26 | 2024-07-01 |
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 | 2024-11-05 | 2024-10-23 |
eurostat | hbs_str_t223 | 2024-11-05 | 2024-11-05 |
eurostat | prc_hicp_midx | 2024-11-01 | 2024-11-05 |
eurostat | prc_hpi_q | 2024-11-05 | 2024-10-09 |
fred | housing | 2024-11-01 | 2024-11-01 |
insee | IPLA-IPLNA-2015 | 2024-11-05 | 2024-11-05 |
oecd | housing | 2024-09-15 | 2020-01-18 |
oecd | SNA_TABLE5 | 2024-09-11 | 2023-10-19 |
LAST_COMPILE
LAST_COMPILE |
---|
2024-11-07 |
Last
date | Nobs |
---|---|
2024-11-07 | 6 |
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"),
>= as.Date("2000-01-01")) %>%
date 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"),
>= as.Date("2010-01-01")) %>%
date 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"),
>= as.Date("2000-01-01")) %>%
date 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"),
>= as.Date("2010-01-01")) %>%
date 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",
== "IRLTLT01JPM156N" ~ "Japan: 10-Year Nominal Yield",
variable == "IRLTLT01FRM156N" ~ "France: 10-Year Nominal Yield")) %>%
variable 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",
== "IRLTLT01JPM156N" ~ "Japan: 10-Year Nominal Yield",
variable == "IRLTLT01FRM156N" ~ "France: 10-Year Nominal Yield")) %>%
variable 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",
== "IRLTLT01JPM156N" ~ "Japan: 10-Year Nominal Yield")) %>%
variable 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"),
>= as.Date("1994-01-01")) %>%
date 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"),
<= as.Date("2012-01-01")) %>%
date 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"),
<= as.Date("2012-01-01")) %>%
date 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"),
>= as.Date("1987-01-01"),
date <= as.Date("1993-01-01")) %>%
date 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"),
<= as.Date("1993-01-01")) %>%
date 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"),
<= as.Date("2012-01-01")) %>%
date 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"),
<= as.Date("2012-01-01")) %>%
date 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"),
<= as.Date("2012-01-01")) %>%
date 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"),
>= as.Date("1969-01-01")) %>%
date 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"),
>= as.Date("2000-01-01")) %>%
date 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"),
>= as.Date("2010-01-01")) %>%
date 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"),
>= as.Date("1980-01-01")) %>%
date 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"),
>= as.Date("2005-01-01")) %>%
date 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"),
>= as.Date("1980-01-01")) %>%
date 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"),
>= as.Date("1980-01-01")) %>%
date 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"),
>= as.Date("1980-01-01")) %>%
date 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"),
<= as.Date("2016-01-01")) %>%
date 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"),
<= as.Date("2016-01-01")) %>%
date 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"),
>= as.Date("1980-01-01")) %>%
date 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"),
>= as.Date("1998-01-01")) %>%
date 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"),
>= as.Date("2009-01-01"),
date <= as.Date("2014-12-31")) %>%
date mutate(value = value/100,
Variable = case_when(variable == "INTDSREZQ193N" ~ "Euro Area Discount Rate",
== "FEDFUNDS" ~ "U.S. Fed Funds Rate")) %>%
variable 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",
>= as.Date("2008-01-01"),
date <= as.Date("2014-01-01")) %>%
date 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))