Accessible Version
Repo Rate Sensitivity to Treasury Issuance and Quantitative Tightening, Accessible Data
Figure 1: Estimated Sensitivity of Changes in (TGCR-ON RRP) to Changes in Treasury Securities Outstanding Over Time - Panel A: Coupons
Panel A: Coupons
| Quarter | No Controls | Public Controls | Nonpublic Controls | ||||||
|---|---|---|---|---|---|---|---|---|---|
| Coefficient | Top of 95% Confidence Interval | Bottom of 95% Confidence Interval | Coefficient | Top of 95% Confidence Interval | Bottom of 95% Confidence Interval | Coefficient | Top of 95% Confidence Interval | Bottom of 95% Confidence Interval | |
| 2016 Q1 | 7.329 | 10.445 | 4.213 | 7.277 | 10.187 | 4.366 | 6.406 | 9.404 | 3.408 |
| 2016 Q2 | 12.768 | 22.826 | 2.709 | 12.410 | 22.453 | 2.368 | 11.302 | 20.825 | 1.779 |
| 2016 Q3 | 12.711 | 18.665 | 6.758 | 12.890 | 18.487 | 7.293 | 11.737 | 18.115 | 5.360 |
| 2016 Q4 | -2.306 | 5.663 | -10.276 | -1.774 | 6.090 | -9.637 | -2.783 | 5.070 | -10.635 |
| 2017 Q1 | 6.730 | 15.487 | -2.027 | 7.192 | 16.369 | -1.985 | 11.499 | 15.225 | 7.773 |
| 2017 Q2 | 12.122 | 19.868 | 4.376 | 12.175 | 19.918 | 4.433 | 11.568 | 19.891 | 3.245 |
| 2017 Q3 | 13.254 | 21.530 | 4.978 | 12.996 | 20.581 | 5.411 | 13.574 | 21.475 | 5.674 |
| 2017 Q4 | 8.920 | 17.370 | 0.469 | 9.077 | 17.386 | 0.768 | 8.691 | 17.262 | 0.121 |
| 2018 Q1 | 30.127 | 37.231 | 23.022 | 30.028 | 37.296 | 22.759 | 28.932 | 36.288 | 21.577 |
| 2018 Q2 | 17.671 | 32.987 | 2.355 | 17.712 | 32.959 | 2.464 | 16.712 | 32.400 | 1.023 |
| 2018 Q3 | 17.462 | 25.781 | 9.142 | 17.403 | 25.710 | 9.095 | 16.489 | 24.592 | 8.386 |
| 2018 Q4 | 34.007 | 65.705 | 2.308 | 33.878 | 65.523 | 2.233 | 32.527 | 63.212 | 1.842 |
| 2019 Q1 | 39.141 | 57.905 | 20.376 | 39.185 | 57.884 | 20.486 | 37.448 | 56.306 | 18.591 |
| 2019 Q2 | 25.614 | 44.469 | 6.759 | 25.842 | 44.730 | 6.954 | 24.053 | 42.851 | 5.255 |
| 2019 Q3 | 11.797 | 38.692 | -15.098 | 11.851 | 38.747 | -15.046 | 11.005 | 37.586 | -15.576 |
| 2019 Q4 | 35.803 | 50.464 | 21.143 | 36.042 | 50.728 | 21.355 | 34.671 | 49.214 | 20.127 |
| 2020 Q1 | 19.123 | 35.810 | 2.437 | 19.387 | 35.838 | 2.937 | 20.131 | 36.109 | 4.152 |
| 2020 Q2 | 2.058 | 3.103 | 1.012 | 2.016 | 3.273 | 0.758 | 1.350 | 3.272 | -0.571 |
| 2020 Q3 | 1.944 | 2.823 | 1.065 | 1.969 | 2.914 | 1.025 | 1.030 | 2.938 | -0.877 |
| 2020 Q4 | 1.209 | 2.852 | -0.435 | 1.257 | 2.979 | -0.464 | 0.532 | 2.588 | -1.523 |
| 2021 Q1 | 0.578 | 1.651 | -0.496 | 0.576 | 1.632 | -0.480 | -0.185 | 1.337 | -1.707 |
| 2021 Q2 | 0.057 | 0.133 | -0.019 | 0.083 | 0.199 | -0.033 | -0.346 | 0.396 | -1.087 |
| 2021 Q3 | 0.000 | 0.000 | 0.000 | 0.093 | 0.258 | -0.072 | -0.203 | 0.563 | -0.968 |
| 2021 Q4 | 0.000 | 0.000 | 0.000 | 0.258 | 0.692 | -0.177 | 0.502 | 2.481 | -1.478 |
| 2022 Q1 | 0.000 | 0.000 | 0.000 | 0.122 | 0.337 | -0.093 | -0.510 | 0.245 | -1.265 |
| 2022 Q2 | -1.585 | 1.375 | -4.545 | -1.541 | 1.593 | -4.676 | -2.668 | 1.119 | -6.456 |
| 2022 Q3 | 0.394 | 1.409 | -0.622 | 0.390 | 1.378 | -0.597 | -0.844 | 1.113 | -2.801 |
| 2022 Q4 | 3.321 | 7.470 | -0.827 | 3.527 | 7.771 | -0.716 | 2.559 | 6.558 | -1.440 |
| 2023 Q1 | 2.955 | 8.765 | -2.856 | 3.224 | 8.504 | -2.055 | 4.170 | 10.696 | -2.357 |
| 2023 Q2 | 4.602 | 5.871 | 3.333 | 4.479 | 6.285 | 2.674 | 4.897 | 7.443 | 2.352 |
| 2023 Q3 | 1.704 | 4.197 | -0.788 | 1.599 | 3.987 | -0.789 | 0.735 | 3.119 | -1.649 |
| 2023 Q4 | -0.606 | 3.072 | -4.284 | -0.572 | 3.157 | -4.302 | -2.597 | 2.235 | -7.428 |
| 2024 Q1 | 1.561 | 3.410 | -0.288 | 1.567 | 3.360 | -0.226 | 0.008 | 2.774 | -2.759 |
| 2024 Q2 | 2.711 | 3.952 | 1.471 | 2.716 | 3.982 | 1.451 | 1.503 | 3.814 | -0.808 |
| 2024 Q3 | 5.036 | 8.459 | 1.614 | 4.955 | 8.280 | 1.630 | 3.543 | 6.868 | 0.219 |
| 2024 Q4 | 11.521 | 12.765 | 10.278 | 11.304 | 12.609 | 9.998 | 9.973 | 12.251 | 7.695 |
Figure 1: Estimated Sensitivity of Changes in (TGCR-ON RRP) to Changes in Treasury Securities Outstanding Over Time
Panel B: Bills
| Quarter | No Controls | Public Controls | Non-Public Controls | ||||||
|---|---|---|---|---|---|---|---|---|---|
| Coefficient | Top of 95% Confidence Interval | Bottom of 95% Confidence Interval | Coefficient | Top of 95% Confidence Interval | Bottom of 95% Confidence Interval | Coefficient | Top of 95% Confidence Interval | Bottom of 95% Confidence Interval | |
| 2016 Q1 | 0.639 | 1.145 | 0.133 | 0.650 | 1.155 | 0.144 | 0.570 | 1.108 | 0.033 |
| 2016 Q2 | 0.241 | 0.802 | -0.319 | 0.242 | 0.864 | -0.379 | 0.141 | 0.822 | -0.540 |
| 2016 Q3 | 0.912 | 1.753 | 0.070 | 0.913 | 1.715 | 0.112 | 0.862 | 1.665 | 0.058 |
| 2016 Q4 | 0.943 | 1.387 | 0.498 | 0.944 | 1.385 | 0.503 | 0.869 | 1.342 | 0.396 |
| 2017 Q1 | 0.380 | 0.628 | 0.132 | 0.419 | 0.667 | 0.172 | 0.511 | 0.883 | 0.138 |
| 2017 Q2 | 0.639 | 1.063 | 0.215 | 0.701 | 1.086 | 0.315 | 0.649 | 1.070 | 0.227 |
| 2017 Q3 | -0.003 | 0.880 | -0.886 | -0.043 | 0.797 | -0.883 | -0.028 | 0.836 | -0.893 |
| 2017 Q4 | 0.517 | 1.283 | -0.248 | 0.497 | 1.265 | -0.270 | 0.507 | 1.254 | -0.239 |
| 2018 Q1 | 1.022 | 1.474 | 0.570 | 1.036 | 1.480 | 0.591 | 0.966 | 1.416 | 0.515 |
| 2018 Q2 | 1.164 | 2.353 | -0.025 | 1.153 | 2.340 | -0.033 | 0.909 | 2.175 | -0.357 |
| 2018 Q3 | 2.331 | 3.074 | 1.589 | 2.350 | 3.079 | 1.622 | 2.145 | 3.073 | 1.217 |
| 2018 Q4 | 4.700 | 7.429 | 1.970 | 4.717 | 7.474 | 1.960 | 4.594 | 7.347 | 1.841 |
| 2019 Q1 | 3.173 | 5.282 | 1.064 | 3.204 | 5.340 | 1.068 | 2.781 | 4.861 | 0.701 |
| 2019 Q2 | 0.820 | 2.956 | -1.317 | 0.721 | 2.858 | -1.417 | 0.427 | 2.494 | -1.640 |
| 2019 Q3 | 2.728 | 4.630 | 0.826 | 2.729 | 4.636 | 0.822 | 2.643 | 4.533 | 0.753 |
| 2019 Q4 | 4.607 | 7.986 | 1.229 | 4.633 | 8.032 | 1.234 | 4.122 | 7.356 | 0.887 |
| 2020 Q1 | -0.460 | 1.297 | -2.216 | -0.279 | 1.411 | -1.969 | -0.206 | 1.294 | -1.707 |
| 2020 Q2 | 0.073 | 0.231 | -0.086 | 0.038 | 0.245 | -0.169 | -0.067 | 0.249 | -0.383 |
| 2020 Q3 | -0.287 | 0.259 | -0.833 | -0.228 | 0.376 | -0.832 | -0.562 | 0.358 | -1.483 |
| 2020 Q4 | -1.635 | 1.089 | -4.358 | -1.656 | 1.115 | -4.427 | -2.289 | 0.774 | -5.352 |
| 2021 Q1 | 0.048 | 0.452 | -0.356 | -0.006 | 0.455 | -0.468 | -0.366 | 0.657 | -1.389 |
| 2021 Q2 | 0.151 | 0.409 | -0.108 | 0.143 | 0.416 | -0.130 | -0.245 | 0.519 | -1.009 |
| 2021 Q3 | 0.000 | 0.000 | 0.000 | -0.023 | 0.009 | -0.054 | -0.075 | 0.085 | -0.235 |
| 2021 Q4 | 0.000 | 0.000 | 0.000 | 0.034 | 0.087 | -0.020 | 0.122 | 0.624 | -0.379 |
| 2022 Q1 | 0.000 | 0.000 | 0.000 | 0.025 | 0.057 | -0.007 | -0.090 | 0.073 | -0.254 |
| 2022 Q2 | 0.970 | 2.447 | -0.507 | 0.946 | 2.437 | -0.546 | 0.940 | 2.465 | -0.585 |
| 2022 Q3 | 0.089 | 0.263 | -0.085 | 0.088 | 0.279 | -0.103 | 0.013 | 0.201 | -0.176 |
| 2022 Q4 | 0.092 | 0.427 | -0.244 | 0.087 | 0.413 | -0.239 | 0.098 | 0.454 | -0.258 |
| 2023 Q1 | 0.282 | 0.446 | 0.119 | 0.330 | 0.475 | 0.184 | 0.118 | 0.394 | -0.158 |
| 2023 Q2 | 0.338 | 0.700 | -0.024 | 0.256 | 0.623 | -0.112 | 0.302 | 0.690 | -0.086 |
| 2023 Q3 | -0.014 | 0.276 | -0.303 | 0.039 | 0.312 | -0.234 | -0.024 | 0.260 | -0.307 |
| 2023 Q4 | 0.177 | 0.558 | -0.204 | 0.177 | 0.531 | -0.177 | -0.034 | 0.503 | -0.571 |
| 2024 Q1 | 0.419 | 0.836 | 0.001 | 0.416 | 0.806 | 0.025 | 0.449 | 0.822 | 0.076 |
| 2024 Q2 | -0.527 | 0.013 | -1.068 | -0.482 | 0.150 | -1.115 | -0.828 | 0.102 | -1.759 |
| 2024 Q3 | 1.376 | 2.344 | 0.408 | 1.377 | 2.355 | 0.398 | 1.135 | 2.218 | 0.051 |
| 2024 Q4 | 1.695 | 3.627 | -0.236 | 1.713 | 3.613 | -0.188 | 1.354 | 3.375 | -0.667 |
Panel A plots coefficients and 95% confidence intervals for the sensitivity of changes in (TGCR – ON RRP) to changes in Treasury coupons outstanding, estimated quarterly, under three specifications: no controls (coefficients in blue circles with confidence intervals in thick blue lines), public controls (coefficients in red triangles with confidence intervals in dashed red lines), and nonpublic controls (coefficients in green squares with confidence intervals in thin green lines). The three specifications exhibit similar patterns. The coefficients increase from around 10 in 2016 and 2017 to near 30 by the end of 2018 and into 2019. Over this period, the confidence intervals are large, but most estimates in 2018 and 2019 are statistically significant. Starting in 2020-Q2, the coefficients fall to close to zero, with very small confidence intervals. The coefficients begin to increase in 2024-Q1, becoming statistically significant in mid-2024 and reaching a level of around 10 by 2024-Q4.
Panel B plots coefficients and 95% confidence intervals for the sensitivity of changes in (TGCR – ON RRP) to changes in Treasury bills outstanding, estimated quarterly, under the same three specifications as in Panel A. The three specifications exhibit similar patterns. The coefficients increase from near zero in 2016 and 2017 to around 2 to 4 by mid-2018 and into 2019. The confidence intervals are large between 2018-Q4 and 2019-Q4, but most estimates in 2018 and 2019 are statistically significant. In 2020-Q1, the coefficients fall to close to zero, with small confidence intervals. The coefficients are slightly higher – close to 2 – in the last two quarters of 2024.
In both panels, two periods of quantitative tightening are shaded in yellow, the first between October 2017 – June 2019 and the second between June 2022 – December 2024. The sum of reserves and ON RRP take-up, scaled by GDP, is plotted on the left axis (black dotted line). It begins at around 13 percent, then declines to around 7 percent during the first QT period. It increases beginning in the second half of 2019, reaches a level of just below 25 percent at the beginning of 2022, then decreases to around 12 percent at the end of 2024.
To the right of each panel, coefficients for 2023-2024 are plotted on shorter y-axis scale.
Note: Point estimates and 95% confidence intervals are plotted. Estimated over January 1, 2016 - November 30, 2024. September 16, 2019 - September 30, 2019 is dropped. The 2024-Q4 estimate is preliminary. Includes month fixed effects and Newey-West standard errors with 20 lags. Public controls are lagged weekly average levels of ON RRP take-up plus reserves, Treasury securities held in SOMA, and TGA; nonpublic controls are daily contemporaneous changes and lagged levels of ON RRP take-up plus reserves, SOMA Treasury securities, and TGA. All control variables are logged. QT periods are shaded in yellow. Source: Federal Reserve Board, H.4.1; Federal Reserve Bank of New York; Treasury Department.
Figure 2. Estimated Sensitivity of Changes in (TGCR-ON RRP) to Changes in Treasury Securities Outstanding Over Time, with and without Quarter-Ends
Panel A: Coupons
| Quarter | Includes Quarter-Ends | Excludes Quarter-Ends | ||||
|---|---|---|---|---|---|---|
| Coefficient | Top of 95% Confidence Interval | Bottom of 95% Confidence Interval | Coefficient | Top of 95% Confidence Interval | Bottom of 95% Confidence Interval | |
| 2016 Q1 | 7.329 | 10.445 | 4.213 | 7.163 | 10.841 | 3.485 |
| 2016 Q2 | 12.768 | 22.826 | 2.709 | 13.068 | 23.281 | 2.856 |
| 2016 Q3 | 12.711 | 18.665 | 6.758 | 8.373 | 12.239 | 4.506 |
| 2016 Q4 | -2.306 | 5.663 | -10.276 | -2.589 | 3.573 | -8.751 |
| 2017 Q1 | 6.730 | 15.487 | -2.027 | 10.804 | 16.617 | 4.991 |
| 2017 Q2 | 12.122 | 19.868 | 4.376 | 8.595 | 14.517 | 2.674 |
| 2017 Q3 | 13.254 | 21.530 | 4.978 | 7.272 | 14.998 | -0.455 |
| 2017 Q4 | 8.920 | 17.370 | 0.469 | 6.664 | 14.475 | -1.147 |
| 2018 Q1 | 30.127 | 37.231 | 23.022 | 29.015 | 34.119 | 23.911 |
| 2018 Q2 | 17.671 | 32.987 | 2.355 | 10.724 | 24.033 | -2.586 |
| 2018 Q3 | 17.462 | 25.781 | 9.142 | 16.933 | 25.383 | 8.483 |
| 2018 Q4 | 34.007 | 65.705 | 2.308 | 16.759 | 22.810 | 10.708 |
| 2019 Q1 | 39.141 | 57.905 | 20.376 | 31.206 | 51.569 | 10.843 |
| 2019 Q2 | 25.614 | 44.469 | 6.759 | 29.290 | 52.797 | 5.783 |
| 2019 Q3 | 11.797 | 38.692 | -15.098 | 25.502 | 52.351 | -1.347 |
| 2019 Q4 | 35.803 | 50.464 | 21.143 | 36.720 | 48.142 | 25.298 |
| 2020 Q1 | 19.123 | 35.810 | 2.437 | 22.317 | 40.937 | 3.697 |
| 2020 Q2 | 2.058 | 3.103 | 1.012 | 2.324 | 4.171 | 0.477 |
| 2020 Q3 | 1.944 | 2.823 | 1.065 | 2.335 | 3.516 | 1.155 |
| 2020 Q4 | 1.209 | 2.852 | -0.435 | 2.333 | 3.006 | 1.660 |
| 2021 Q1 | 0.578 | 1.651 | -0.496 | 0.826 | 2.222 | -0.569 |
| 2021 Q2 | 0.057 | 0.133 | -0.019 | 0.060 | 0.167 | -0.047 |
| 2021 Q3 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| 2021 Q4 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| 2022 Q1 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| 2022 Q2 | -1.585 | 1.375 | -4.545 | -0.102 | 0.547 | -0.751 |
| 2022 Q3 | 0.394 | 1.409 | -0.622 | 0.652 | 1.721 | -0.416 |
| 2022 Q4 | 3.321 | 7.470 | -0.827 | 3.467 | 7.338 | -0.404 |
| 2023 Q1 | 2.955 | 8.765 | -2.856 | 3.519 | 10.754 | -3.715 |
| 2023 Q2 | 4.602 | 5.871 | 3.333 | 4.781 | 5.973 | 3.589 |
| 2023 Q3 | 1.704 | 4.197 | -0.788 | 2.112 | 4.904 | -0.680 |
| 2023 Q4 | -0.606 | 3.072 | -4.284 | 1.110 | 2.644 | -0.423 |
| 2024 Q1 | 1.561 | 3.410 | -0.288 | 2.008 | 3.433 | 0.583 |
| 2024 Q2 | 2.711 | 3.952 | 1.471 | 2.605 | 4.155 | 1.056 |
| 2024 Q3 | 5.036 | 8.459 | 1.614 | 3.203 | 5.478 | 0.928 |
| 2024 Q4 | 11.521 | 12.765 | 10.278 | 11.375 | 12.304 | 10.446 |
Figure 2. Estimated Sensitivity of Changes in (TGCR-ON RRP) to Changes in Treasury Securities Outstanding Over Time, with and without Quarter-Ends
Panel B: Bills
| Quarter | Includes Quarter-Ends | Excludes Quarter-Ends | ||||
|---|---|---|---|---|---|---|
| Coefficient | Top of 95% Confidence Interval | Bottom of 95% Confidence Interval | Coefficient | Top of 95% Confidence Interval | Bottom of 95% Confidence Interval | |
| 2016 Q1 | 0.639 | 1.145 | 0.133 | 0.617 | 1.103 | 0.131 |
| 2016 Q2 | 0.241 | 0.802 | -0.319 | 0.418 | 0.669 | 0.168 |
| 2016 Q3 | 0.912 | 1.753 | 0.070 | 0.457 | 0.742 | 0.171 |
| 2016 Q4 | 0.943 | 1.387 | 0.498 | 0.809 | 1.127 | 0.492 |
| 2017 Q1 | 0.380 | 0.628 | 0.132 | 0.449 | 0.691 | 0.207 |
| 2017 Q2 | 0.639 | 1.063 | 0.215 | 0.528 | 0.718 | 0.338 |
| 2017 Q3 | -0.003 | 0.880 | -0.886 | -0.273 | 0.303 | -0.849 |
| 2017 Q4 | 0.517 | 1.283 | -0.248 | 0.498 | 1.309 | -0.313 |
| 2018 Q1 | 1.022 | 1.474 | 0.570 | 0.853 | 1.463 | 0.243 |
| 2018 Q2 | 1.164 | 2.353 | -0.025 | 1.334 | 2.424 | 0.245 |
| 2018 Q3 | 2.331 | 3.074 | 1.589 | 2.146 | 3.022 | 1.271 |
| 2018 Q4 | 4.700 | 7.429 | 1.970 | 4.512 | 6.996 | 2.029 |
| 2019 Q1 | 3.173 | 5.282 | 1.064 | 2.801 | 4.814 | 0.788 |
| 2019 Q2 | 0.820 | 2.956 | -1.317 | 1.172 | 3.237 | -0.893 |
| 2019 Q3 | 2.728 | 4.630 | 0.826 | 2.091 | 4.393 | -0.211 |
| 2019 Q4 | 4.607 | 7.986 | 1.229 | 2.125 | 5.022 | -0.773 |
| 2020 Q1 | -0.460 | 1.297 | -2.216 | 0.452 | 2.054 | -1.151 |
| 2020 Q2 | 0.073 | 0.231 | -0.086 | 0.073 | 0.249 | -0.102 |
| 2020 Q3 | -0.287 | 0.259 | -0.833 | -0.349 | 0.275 | -0.973 |
| 2020 Q4 | -1.635 | 1.089 | -4.358 | -0.195 | 1.438 | -1.829 |
| 2021 Q1 | 0.048 | 0.452 | -0.356 | 0.001 | 0.400 | -0.398 |
| 2021 Q2 | 0.151 | 0.409 | -0.108 | 0.179 | 0.507 | -0.149 |
| 2021 Q3 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| 2021 Q4 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| 2022 Q1 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| 2022 Q2 | 0.970 | 2.447 | -0.507 | 0.729 | 1.922 | -0.463 |
| 2022 Q3 | 0.089 | 0.263 | -0.085 | 0.114 | 0.294 | -0.067 |
| 2022 Q4 | 0.092 | 0.427 | -0.244 | 0.179 | 0.433 | -0.076 |
| 2023 Q1 | 0.282 | 0.446 | 0.119 | 0.328 | 0.446 | 0.209 |
| 2023 Q2 | 0.338 | 0.700 | -0.024 | 0.291 | 0.619 | -0.037 |
| 2023 Q3 | -0.014 | 0.276 | -0.303 | 0.186 | 0.492 | -0.119 |
| 2023 Q4 | 0.177 | 0.558 | -0.204 | -0.013 | 0.085 | -0.110 |
| 2024 Q1 | 0.419 | 0.836 | 0.001 | 0.498 | 0.925 | 0.071 |
| 2024 Q2 | -0.527 | 0.013 | -1.068 | -0.467 | 0.046 | -0.979 |
| 2024 Q3 | 1.376 | 2.344 | 0.408 | 1.165 | 2.248 | 0.082 |
| 2024 Q4 | 1.695 | 3.627 | -0.236 | 1.487 | 3.110 | -0.135 |
Panel A plots coefficients and 95% confidence intervals for the sensitivity of changes in (TGCR – ON RRP) to changes in Treasury coupons outstanding, estimated quarterly, under two specifications: one including quarter-end dates (coefficients in blue circles with confidence intervals in thick blue lines) and one excluding quarter-end dates (coefficients in orange diamonds with confidence intervals in dashed orange lines). The two specifications exhibit similar patterns, which are also similar to those observed in Figure 1, Panel A.
Panel B plots coefficients and 95% confidence intervals for the sensitivity of changes in (TGCR – ON RRP) to changes in Treasury bills outstanding, estimated quarterly, under the same two specifications as in Panel A. The two specifications exhibit similar patterns, which are also similar to those observed in Figure 1, Panel B.
In both panels, two periods of quantitative tightening are shaded in yellow, the first between October 2017 – June 2019 and the second between June 2022 – December 2024. The sum of reserves and ON RRP take-up, scaled by GDP, is plotted on the left axis (black dotted line). It begins at around 13 percent, then declines to around 7 percent during the first QT period. It increases beginning in the second half of 2019, reaches a level of just below 25 percent at the beginning of 2022, then decreases to around 12 percent at the end of 2024.
To the right of each panel, coefficients for 2023-2024 are plotted on shorter y-axis scale.
Note: Point estimates and 95% confidence intervals are plotted. Estimated over January 1, 2016 - November 30, 2024. September 16, 2019 - September 30, 2019 is dropped. The 2024-Q4 estimate is preliminary. Includes month fixed effects and Newey-West standard errors with 20 lags. Controls for daily contemporaneous changes of log levels and lagged log levels of ON RRP take-up plus reserves, Treasury securities held in SOMA, and TGA. Specification without quarter-ends excludes quarter-ends +/- 2 days. QT periods are shaded in yellow. Source: Federal Reserve Board, H.4.1; Federal Reserve Bank of New York; Treasury Department.