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A New Daily Federal Funds Rate Series and History of the Federal Funds Market, 1928-54

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Abstract

This article describes the origins and development of the federal funds market from its inception in the 1920s to the early 1950s. We present a newly digitized daily data series on the federal funds rate from April 1928 through June 1954. We compare the behavior of the funds rate with other money market interest rates and the Federal Reserve discount rate. Our federal funds rate series will enhance the ability of researchers to study an eventful period in U.S. financial history and better understand how monetary policy was transmitted to banking and financial markets. For the 1920s-30s, our series is the best available measure of the overnight risk-free interest rate, better than the call money rate that many studies have used for this purpose. For the 1940s-50s, our series provides new information about the transition away from wartime interest rate pegs culminating in the 1951 Treasury-Federal Reserve Accord.

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  • Sriya Anbil & Mark A. Carlson & Christopher Hanes & David C. Wheelock, 2021. "A New Daily Federal Funds Rate Series and History of the Federal Funds Market, 1928-54," Review, Federal Reserve Bank of St. Louis, vol. 103(1), pages 45-70, January.
  • Handle: RePEc:fip:fedlrv:90589
    DOI: 10.20955/r.103.45-70
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    1. Brinca, P. & Chari, V.V. & Kehoe, P.J. & McGrattan, E., 2016. "Accounting for Business Cycles," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1013-1063, Elsevier.
    2. Davide Melcangi, 2016. "Firm’s precautionary savings and employment during a credit crisis," Discussion Papers 1610, Centre for Macroeconomics (CFM).
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