20 datasets found
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Federal
Foreign Exchange Rates
Board of Governors of the Federal Reserve System —
The H.10 weekly release contains daily rates of exchange of major currencies against the U.S. dollar. The data are noon buying rates in New York for cable transfers... -
Federal
Updating the Recession Risk and the Excess Bond Premium
Board of Governors of the Federal Reserve System —
The excess bond premium (EBP) is a measure of investor sentiment or risk appetite in the corporate bond market. A credit spread index can be decomposed into two... -
Federal
A Unified Measure of Fed Monetary Policy Shocks
Board of Governors of the Federal Reserve System —
A measure of Fed monetary policy shocks, as estimated in 'A Unified Measure of Fed Monetary Policy Shocks' by Chunya Bu, John Rogers, and Wenbin Wu. -
Federal
Government Securities Dealers Reports
Board of Governors of the Federal Reserve System —
These reports collect information on market activity from primary dealers in U.S. government securities. This family of reports consists of the Weekly Report of... -
Federal
Commercial Paper Rates and Outstanding Summary - Commercial Paper Rates
Board of Governors of the Federal Reserve System —
Daily rates for commercial paper are provided for the AA nonfinancial, A2/P2 nonfinancial, AA financial, and AA asset-backed categories. The criteria that determine... -
Federal
Foreign Exchange Rates - G.5a
Board of Governors of the Federal Reserve System —
The G.5A annual release contains yearly average rates of exchange of major currencies against the U.S. dollar. Averages are based on daily noon buying rates for cable... -
Federal
Estimating U.S. Cross-Border Securities Flows: Ten Years of the TIC SLT
Board of Governors of the Federal Reserve System —
The TIC Form SLT collects monthly data on the market value of long-term cross-border securities holdings by country, type of foreign holder (official or private), and... -
Federal
Tips from TIPS: Update and Discussions
Board of Governors of the Federal Reserve System —
D'Amico, Kim, and Wei use a no-arbitrage term structure model to decompose TIPS inflation compensation into three components: inflation expectation, inflation risk... -
Federal
Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule
Board of Governors of the Federal Reserve System —
The Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule (FFIEC 102) collects information on reporting institutions’ value-at-risk-... -
Federal
Commercial Paper Rates and Outstanding Summary - Volume Statistics for Commercial Paper Issuance
Board of Governors of the Federal Reserve System —
Volume statistics for daily commercial paper issuance are provided for each of the commercial paper rate categories: AA nonfinancial, A2/P2 nonfinancial, AA... -
Federal
New Security Issues, State and Local Governments
Board of Governors of the Federal Reserve System —
The New Security Issues, State and Local Governments tables (1.45) are updated monthly. Data were previously published in the Supplement to the Federal Reserve... -
Federal
Central Bank Survey of Foreign Exchange and Derivatives Market Activity
Board of Governors of the Federal Reserve System —
The FR 3036 survey consists of a Turnover section and a section on Derivatives Outstandings. The Turnover section requests information on the monthly volume of... -
Federal
What Drives U.S. Treasury Re-use?
Board of Governors of the Federal Reserve System —
Based on confidential supervisory data, this dataset estimates the degree of collateral re-use at the dealer level through their collateral multiplier: the ratio... -
Federal
Globalization and the Geography of Capital Flows
Board of Governors of the Federal Reserve System —
The U.S. cross-border securities portfolio is used as a case study to document the extent of distortions in traditional residence-based portfolio statistics. With... -
Federal
New Security Issues, U.S. Corporations
Board of Governors of the Federal Reserve System —
The New Security Issues, U.S. Corporations tables (1.46) are updated monthly. Data were previously published in the Supplement to the Federal Reserve Bulletin, which... -
Federal
Commercial Paper Rates and Outstanding Summary - Maturity Distribution of Commercial Paper Outstanding
Board of Governors of the Federal Reserve System —
Derived from data supplied by The Depository Trust & Clearing Corporation -
Federal
Commercial Paper Rates and Outstanding Summary - Commercial Paper Outstanding
Board of Governors of the Federal Reserve System —
Commercial paper outstanding are provided for seasonally adjusted and not seasonally adjusted categories. The not seasonally adjusted categories include financial,... -
Federal
Commercial Paper Rates and Outstanding Summary - Year-end Commercial Paper Outstanding
Board of Governors of the Federal Reserve System —
This page will be updated weekly from October through December. The weekly pattern of commercial paper maturing after December 31 chart and table will be replaced... -
Federal
Foreign Exchange Rates - G.5
Board of Governors of the Federal Reserve System —
The G.5 monthly release contains monthly average rates of exchange of major currencies against the U.S. dollar. Averages are based on daily noon buying rates for... -
Federal
Open Source Cross-Sectional Asset Pricing
Board of Governors of the Federal Reserve System —
These data and code successfully reproduce nearly all cross-sectional stock return predictors. The 319 characteristics draw from previous meta-studies, but authors...
20 datasets found