Working Paper
A New Daily Federal Funds Rate Series and History of the Federal Funds Market, 1928-1954
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 to better understand how monetary policy was transmitted to banking and financial markets. For the 1920s and 1930s, our series is the best available measure of the overnight risk-free interest rate, better than the call money rate which many studies have used for that purpose. For the 1940s-1950s, our series provides new information about the transition away from wartime interest-rate pegs culminating in the 1951 Treasury-Federal Reserve Accord.
Keywords: Federal funds rate; Call loan rate; Money market; Federal Reserve System; ;
JEL Classification: E43; E44; E52; G21; N22;
https://doi.org/10.17016/FEDS.2020.059
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File(s): File format is application/pdf https://www.federalreserve.gov/econres/feds/files/2020059pap.pdf
Bibliographic Information
Provider: Board of Governors of the Federal Reserve System (U.S.)
Part of Series: Finance and Economics Discussion Series
Publication Date: 2020-08-19
Number: 2020-059