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Saturday, October 25, 2014

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Output Gap and Financial Assumptions from the Board of Governors

Excel files containing real-time history and projections for the output gap and assumptions for financial variables can be downloaded by clicking on the links below.

Prefatory Note for the Real-Time Output Gap

This data set contains real-time estimates and projections of the output gap used by the staff of the Board of Governors of the Federal Reserve System in constructing its Greenbook forecast. The output gap was not included in the Greenbook over the period covered by this data set. However, data on the output gap were constructed and used by Board staff in generating wage and inflation forecasts and checking unemployment forecasts and in other ways. Some observations have been constructed from records that, at times, were incomplete or preliminary. Accordingly, errors may remain in this data set.

The output gap is defined as the difference between actual and potential output, expressed as a percent of potential output.

The definition and measurement of real output have changed over time. They are the same as those used in the Greenbooks, which are available in the transcripts and other historical materials at the Board of Governors, External Link or on our website in PDF format.

Prefatory Note for Greenbook Financial Assumptions

Full documentation is not available. The "Mortgage Rates (merged)" series results from concatenating the following series, as labeled at the time (with the date at which the series with that label started):

  • Mortgage (1/1981)
  • Fixed-Rate Mortgage (8/1981)
  • Fixed-Rate S&L Mortgage (1/1984)
  • Fixed-Rate Mortgage (5/1987)

Notice that in some cases, a value is appended with a "+" or "–". Examination of Federal Reserve Board staff records does not reveal an interpretation of those suffixes, although they apparently meant that the value was likely to be a bit higher (in the case of a "+") or a bit lower (in the case of a "–") than the value to which they were appended. These suffixes could cause some problems in reading the data. We apologize for any inconvenience this may cause.

Additional Notes

While authoritative documentation does not exist for the definitions and measurement of all variables in the various vintage data sets, spot checks by the Federal Reserve Bank of Philadelphia indicate the following definitions seem to have been used.

  • Federal Funds Rate. Throughout the sample period, this appears to be the quarterly average effective federal funds rate, annualized on a 360-day year, as reported in the Federal Reserve Board's H.15 statistical release.
  • Three-Month Treasury Bill Rate. Throughout the sample period, this appears to be the quarterly average rate on three-month Treasury bills (secondary market), annualized on a 360-day year and discount basis, as reported in the Federal Reserve Board's H.15 statistical release.
  • 10-Year Bond Rate. Throughout the sample period, this appears to be the quarterly average rate on 10-year constant maturity Treasury bonds, as reported in the Federal Reserve Board's H.15 statistical release.
  • 30-Year Treasury Bond Rate. Throughout the sample period, this appears to be the quarterly average rate on 30-year constant maturity Treasury bonds, as reported in the Federal Reserve Board's H.15 statistical release.
  • Wilshire 5000. This is the Wilshire 5000 index of stock prices. Over the period from the second FOMC meeting of 1996 to the fourth meeting of 1996, it is the index value at the end of the quarter. Over the period from the fifth FOMC meeting of 1996 to the eighth meeting of 2002, it appears to be the quarterly average (with some small discrepancies). Over the period since (and including) the first FOMC meeting of 2003, it is the index value at the end of the quarter.
  • Baa Corporate Bond Rate. Throughout the sample period, this appears to be the quarterly average rate on Moody's seasoned corporate bonds, as reported in the Federal Reserve Board's H.15 statistical release.
  • Corporate Bond Rate. At present, almost nothing is known about this variable. Very preliminary spot checks suggest that it could be the same variable as the recent Aaa utility bond rate, described below.
  • Recent Aaa Utility Bond Rate. Some very preliminary checking suggests that this variable could be the quarterly average rate on recently offered issues of Aaa utility bonds, as reported in the Federal Reserve Bulletin of January 1982.

If you have any questions about the data, please contact Tom Stark at tom.stark@phil.frb.org. E-mail

Return to the main page for the Greenbook data sets.

  • Last update: February 22, 2013