Forecasting the Treasury's balance at the Fed
As part of the Fed's daily operating procedure, the Federal Reserve Bank of New York, the Board of Governors, and the Treasury make a forecast of that day's Treasury balance at the Fed. These forecasts are an integral part of the Fed's daily operating procedure. Errors in these forecasts can generate variation in reserve supply and, consequently, the federal funds rate. This paper evaluates the accuracy of these forecasts. The evidence suggests that each agency's forecast contributes to the optimal, i.e., minimum variance, forecast and that the Trading Desk of the Federal Reserve Bank of New York incorporates information from all three of the agency forecasts in conducting daily open market operations. Moreover, these forecasts encompass the forecast of an economic model.
|Date of creation:||2003|
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- James D. Hamilton, 1996.
"Measuring the liquidity effect,"
Working Papers in Applied Economic Theory
96-06, Federal Reserve Bank of San Francisco.
- Daniel L. Thornton, 1998.
"The Federal Reserve's operating procedure, nonborrowed reserves, borrowed reserves and the liquidity effect,"
1998-009, Federal Reserve Bank of St. Louis.
- Thornton, Daniel L., 2001. "The Federal Reserve's operating procedure, nonborrowed reserves, borrowed reserves and the liquidity effect," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1717-1739, September.
- Feinman, Joshua N, 1993. "Estimating the Open Market Desk's Daily Reaction Function," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(2), pages 231-47, May.
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