Finance and Economics Discussion Series: 2009-25 Screen Reader version
♣WHITHER THE LIQUIDITY EFFECT: THE EMPACT OF FEDERAL RESERVE OPEN MARKET OPERATIONS IN RECENT YEARS
(Figure Data)
Ruth Judson
Elizabeth Klee
Data for Figure 2: Unanticipated Share of Federal Funds Target Changes
| Date | Unanticipated Share of Federal Funds Target Changes |
| 19940204 | 0.38 |
| 19940322 | -0.47 |
| 19940418 | -0.94 |
| 19940517 | 0.01 |
| 19940816 | 0.32 |
| 19941115 | 0.24 |
| 19950201 | 0.10 |
| 19950706 | 0.07 |
| 19951219 | 0.96 |
| 19960131 | 0.32 |
| 19970325 | 0.21 |
| 19980929 | -0.32 |
| 19981015 | -0.85 |
| 19981117 | 0.57 |
| 19990630 | -0.20 |
| 19990824 | 0.13 |
| 19991116 | 0.36 |
| 20000202 | -0.25 |
| 20000321 | -0.09 |
| 20000516 | 0.18 |
| 20010103 | 0.01 |
| 20010131 | -0.12 |
| 20010320 | -0.30 |
| 20010418 | 0.20 |
| 20010515 | 0.19 |
| 20010627 | -0.45 |
| 20010821 | -0.19 |
| 20010917 | -0.47 |
| 20011002 | 0.08 |
| 20011106 | 0.18 |
| 20011211 | -0.12 |
| 20021106 | 0.42 |
| 20030625 | -0.57 |
| 20040630 | -0.04 |
| 20040810 | 0.14 |
| 20040921 | 0.07 |
| 20041110 | 0.07 |
| 20041214 | 0.06 |
| 20050202 | -0.00 |
| 20050322 | -0.03 |
| 20050503 | 0.00 |
| 20050630 | 0.00 |
| 20050809 | 0.06 |
| 20050920 | 0.14 |
| 20051101 | 0.02 |
| 20051213 | 0.01 |
| 20060131 | 0.06 |
| 20060328 | 0.00 |
| 20060510 | -0.03 |
| 20060629 | -0.03 |
| 20070918 | 0.24 |
| 20071031 | 0.02 |
| 20071211 | -0.46 |
| 20080122 | 0.07 |
| 20080130 | 0.13 |
| 20080318 | -0.36 |
| 20080430 | 0.16 |
Data for Figure 3: Maintenance Period Dummies, Various Sample Periods
| Day of maintenance period | 1994-2004 Coefficient | January 2, 2004 - August 1, 2007 Coefficient |
| First Thursday (R1) | 2.12 | 1.25 |
| First Friday (F1) | -4.37 | 0.11 |
| First Monday (M1) | 2.56 | 1.29 |
| First Tuesday (T1) | -3.03 | -1.01 |
| First Wednesday (W1) | -1.08 | -0.07 |
| Second Thursday (R2) | 2.02 | 1.03 |
| Second Friday (F2) | -3.38 | -0.19 |
| Second Monday (M2) | 3.49 | 1.43 |
| Second Tuesday (T2) | -7.96 | -1.38 |
| Second Wednesday (W2) | 4.74 | -0.74 |
Data for Figure 4: Estimated Liquidity Effects, Various Sample Periods, Original Specification
| Day of maintenance period Liquidity effect Maintenance period | 1994-2004 Coefficient | January 2, 2004 - August 1, 2007 Coefficient |
| R1 | -0.66 | -0.73 |
| F1 | -0.28 | -0.77 |
| M1 | -2.72 | -0.70 |
| T1 | -0.62 | -0.46 |
| W1 | -0.95 | -0.28 |
| R2 | -0.53 | -0.24 |
| F2 | -0.25 | -0.36 |
| M2 | -1.41 | -0.87 |
| T2 | -0.87 | -0.26 |
| W2 | -2.14 | -1.33 |
Data for Figure 5: Day 14 Liquidity Effect Estimates Basis points per billion dollars
| Sample | Day 14 Liquidity Effect Estimates |
| 1994-2004 | -2.14 |
| 1994-2007 | -1.25 |
| 1999-2004 | -0.98 |
| 1999-2007 | -0.97 |
| Post-2004 | -1.32 |
| 1994-1997 | -5.79 |
| 1995-1998 | -2.10 |
| 1996-1999 | -0.63 |
| 1997-2000 | -1.41 |
| 1998-2001 | -0.18 |
| 1999-2002 | -1.11 |
| 2000-2003 | -0.98 |
| 2001-2004 | -0.93 |
| 2002-2005 | -1.25 |
| 2003-2006 | -1.36 |
| 2004-2007 | -1.34 |
Data for Figure 6: Estimated Liquidity Effects for High Payment Flow Days and Ordinary Days, 2004 - August 1, 2007 Basis points per billion dollars
| Day of period | Ordinary days | HPF days |
| R1 | -0.17 | -1.32 |
| F1 | -0.40 | -0.00 |
| M1 | -0.62 | -0.45 |
| T1 | -0.34 | -0.13 |
| W1 | -0.08 | -0.65 |
| R2 | -0.18 | 0.34 |
| F2 | 0.41 | 0.28 |
| M2 | 0.02 | -1.01 |
| T2 | -0.09 | -1.45 |
| W2 | -0.62 | -2.08 |