Bibliothèque

FRED (St. Louis Fed)

Federal Funds Effective Rate

Daily Federal Funds Rate from 1928-1954 (https://fred.stlouisfed.org/categories/33951). The federal funds rate is the interest rate at which depository institutions trade federal funds (balances held at Federal Reserve Banks) with each other overnight. When a depository institution has surplus balances in its reserve account, it lends to other banks in need of larger balances. In simpler terms, a bank with excess cash, which is often referred to as liquidity, will lend to another bank that nee…

• interest-rates
• fed
• fed-funds
• money-markets

FRED (St. Louis Fed)

Secured Overnight Financing Rate

• interest-rates
• fed
• money-markets
• sofr

US Funding-Stress Signals (derived)

US funding-stress signals (money-market rates, stress regimes)

Daily US money-market funding-stress signals: TED spread (TEDRATE), the Secured Overnight Financing Rate (SOFR), and the Interest Rate on Reserve Balances (IORB), 2018 ->, with 63-day and 252-day changes, 30-day change volatility, 3-sigma anomaly flags, 21-day naive-drift forecasts, SOFR-above-IORB funding-pressure flags, 5-year spread z-scores, and elevated / severe stress-regime flags. The overnight-funding lens on financial stress — the policy-transmission mechanics behind the composite indices. Companion to us-financial-stress-index-signals (STLFSI4/NFCI composites). All rows normalized to country_code USA. Raw series: Federal Reserve / Federal Reserve Bank of New York via FRED.

• money-markets
• funding-stress
• sofr
• ted-spread