A New Daily Federal Funds Rate Series and History of the Federal Funds Market, 1928-1954

34 Pages Posted: 21 Aug 2020

See all articles by Sriya Anbil

Sriya Anbil

Board of Governors of the Federal Reserve System

Mark A. Carlson

Board of Governors of the Federal Reserve System

Christopher Hanes

State University of New York (SUNY) - Binghamton University - Department of Economics

David C. Wheelock

Federal Reserve Bank of St. Louis - Research Division

Multiple version iconThere are 2 versions of this paper

Date Written: August, 2020

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

Suggested Citation

Anbil, Sriya and Carlson, Mark A. and Hanes, Christopher and Wheelock, David C., A New Daily Federal Funds Rate Series and History of the Federal Funds Market, 1928-1954 (August, 2020). FEDS Working Paper No. 2020-059, Available at SSRN: https://ssrn.com/abstract=3678092 or http://dx.doi.org/10.17016/FEDS.2020.059

Sriya Anbil (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Mark A. Carlson

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States
(202) 452-3987 (Phone)
(202) 452-2301 (Fax)

Christopher Hanes

State University of New York (SUNY) - Binghamton University - Department of Economics ( email )

Binghamton, NY 13902-6000
United States

David C. Wheelock

Federal Reserve Bank of St. Louis - Research Division ( email )

P.O. Box 442
St. Louis, MO 63166-0442
United States

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