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Performance Evaluation of the H.6 Statistical Release
The Federal Reserve Board's statistical release entitled "Money Stock Measures" (H.6) is released each Thursday, generally at 4:30 p.m., unless Thursday is a federal holiday, in which case the release is issued on Friday, generally at 4:30 p.m. The release provides information on the monetary aggregates and their components. The data on the monetary aggregates play a role in the formulation and conduct of U.S. monetary policy. A copy of the H.6 release is included as Attachment 1.
Table 1 of the H.6 release presents monthly data on the two major monetary aggregates, Ml and M2, over the most recent two-year period.1 Both seasonally adjusted and not seasonally adjusted data are shown. Table 2 presents the recent growth trends in M1 and M2, as well as one-, four-, and thirteen-week average data on the aggregates. Tables 3 and 4 present monthly and weekly seasonally adjusted data on the components of M1, the components of M2 not included in M1 (non-M1 M2), and institutional money funds. Tables 5 and 6 present the components of the monetary aggregates and institutional money funds on a not seasonally adjusted basis. Table 7 provides monthly and weekly data for selected series, mainly deposit items that are excluded from the monetary aggregates. On March 29, 2009, the U.S. Treasury’s supplementary financing account was added as a memorandum item in Table 7.
Most of the data shown on the H.6 release are reported by depository institutions, though some information is obtained from nonbank issuers of traveler's checks and from money market mutual funds. The frequency of data collection ranges from daily to annual.2
A more detailed discussion of the H.6 release follows. It begins with a brief history of the report and its definitions and concepts, followed by a description of the H.6 release's various data sources, including information required by Section 8, Performance Evaluation, of Statistical Policy Directive No. 3.
II. Historical and Analytical Background
The Federal Reserve System has constructed and published monetary statistics since 1914. Timely and accurate data on the monetary aggregates are needed by the Board of Governors and the Federal Open Market Committee (FOMC) for use in monetary policy deliberations and by the public in assessing financial flows and conditions and their implications for the economy.
Concepts and definitions of the money stock have evolved over time, reflecting changes in the regulatory and institutional environment. For example, the publication of the M3 monetary aggregate on the H.6 release was discontinued in March 2006. M3 did not appear to convey any additional information about economic activity that was not already embodied in M2 and had not played a role in the monetary policy process for many years. Consequently, the Federal Reserve Board judged that the costs of collecting the underlying data and publishing M3 outweighed the benefits.
The footnotes of the H.6 release detail the current definitions of money stock concepts, which are summarized here.
Ml includes funds that are readily accessible for spending. M1 consists of: (1) currency outside the U.S. Treasury, Federal Reserve Banks, and the vaults of depository institutions; (2) traveler's checks of nonbank issuers; (3) demand deposits; and (4) other checkable deposits (OCDs), which consist primarily of negotiable order of withdrawal (NOW) accounts at depository institutions and credit union share draft accounts. Seasonally adjusted M1 is calculated by summing currency, traveler's checks, demand deposits, and OCDs, each seasonally adjusted separately.
M2 includes a broader set of financial assets held principally by households. M2 consists of M1 plus: (1) savings deposits (which include money market deposit accounts, or MMDAs); (2) small-denomination time deposits (time deposits in amounts of less than $100,000); and (3) balances in retail money market mutual funds (MMMFs). Seasonally adjusted M2 is computed by summing savings deposits, small-denomination time deposits, and retail MMMFs, each seasonally adjusted separately, and adding this result to seasonally adjusted M1.
Deposits at depository institutions held by the U.S. government, U.S. and foreign depository institutions, foreign official institutions, and MMMFs are excluded from the monetary aggregates. Government and interbank deposits are excluded because the monetary aggregates measure money in the hands of the non-bank public in the United States. Deposits held by MMMFs are excluded to avoid double counting.
III. Sources and Methodology
A. Major Deposits Reports
The primary information source for construction of the monetary aggregates is the reports of deposits filed by depository institutions. The system governing the filing of these reports is closely tied to the structure of reserve requirements, which are established by statute (Section 19 of the Federal Reserve Act) and implemented pursuant to Federal Reserve Regulation D, Reserve Requirements of Depository Institutions.
The frequency with which an institution files a report of deposits depends on the institution's net transaction accounts, its total deposits, and its total transaction accounts, savings deposits, and small-denomination time deposits. For more information on how institutions are assigned to reporting panels, see Chapter IV of the Reserve Maintenance Manual at http://www.frbservices.org/files/regulations/pdf/rmm.pdf.
The primary report of deposits is the "Report of Transaction Accounts, Other Deposits and Vault Cash" (FR 2900; OMB No. 7100-0087). A copy of the FR 2900 reporting form is included as Attachment 2. This report contains twelve items, seven of which are used in the construction of the monetary aggregates: other demand deposits, ATS accounts and NOW accounts/share drafts, and telephone and preauthorized transfers, cash items in the process of collection, total savings deposits, total time deposits, total time deposits with balances of $100,000 or more, and vault cash.3 This report is filed either weekly or quarterly, depending on the institution's assigned reporting category. Weekly filers of the FR 2900 report daily data for the deposit week, which begins on a Tuesday and ends on the following Monday. As of June 2009, about 2,900 institutions reported the FR 2900 on a weekly basis and held about 89 percent of all deposit liabilities. Quarterly filers of the FR 2900 report daily data for one week each quarter. The quarterly report week begins on the third Tuesday in the months of March, June, September, and December and ends on the following Monday. As of June 2009, about 4,800 institutions reported the FR 2900 on a quarterly basis and held about 7 percent of all deposit liabilities.
All FR 2900 respondents (weekly and quarterly) that offer deposits denominated in foreign currencies at their U.S. offices file the "Report of Foreign (Non-U.S.) Currency Deposits" (FR 2915; OMB No. 7100-0237). A copy of the FR 2915 reporting form is included as Attachment 3. As of June 2009, about 120 depository institutions file this report. The report collects seven-day averages, as opposed to daily data, on the same schedule and frequency as the quarterly FR 2900 report. The amounts of foreign currency deposits held at U.S. offices are converted to U.S. dollars and included in the appropriate line item on the institution's FR 2900 report. Foreign currency denominated deposits are reservable, but such deposits are excluded from the monetary aggregates; therefore, foreign currency deposits reported on the FR 2915 are subtracted from the appropriate component when constructing the monetary aggregates.
The Federal Reserve uses the quarterly reports of condition (Call Reports) that are submitted to the various federal regulatory agencies to estimate the contribution to the monetary aggregates from approximately 8,500 depository institutions that are not required to file an FR 2900.4 As of June 2009, these institutions held about 4 percent of all deposit liabilities.
If a depository institution's Call Report is not readily available, the "Annual Report of Total Deposits and Reservable Liabilities" (FR 2910a: OMB No. 7100-0175) is used to estimate a depository institution's liabilities for the purposes of constructing the monetary aggregates. A copy of the FR 2910a report form is included as Attachment 4. In June 2009, there were approximately 10 such institutions, with aggregate deposits of about $115 million.
In summary, the current reporting framework furnishes at least some information on deposits and vault cash from all depository institutions. For institutions that do not file a deposit report weekly, the Federal Reserve Board staff uses the most recent quarterly or annual report filed to estimate deposits and vault cash on a weekly basis until the next report becomes available. The published monetary data are revised quarterly to reflect the difference between the estimates and newly reported data.
B. Data Sources Used to Construct the Components of the Monetary Aggregates
This section discusses the construction and data sources for each of the major components of the monetary aggregates.
The currency component
of M1, sometime called "money stock currency," is defined as currency
in circulation outside the U.S. Treasury, Federal Reserve Banks, and the vaults
of depository institutions. Data on total currency in circulation are obtained
weekly from balance sheets of the Federal Reserve Banks and from the U.S.
Treasury. Weekly currency in circulation data are published each week on the Federal
Reserve Board's H.4.1 statistical release "Factors Affecting Reserve
Balances of Depository Institutions and Condition Statement of Federal Reserve
Banks." Vault cash is reported on the
Data for the nonbank traveler's checks component of Ml are reported by six nonbank issuers of traveler's checks, as of the last business day of each month. Traveler's checks issued by banks are included in the demand deposit component of M1. The respondents provide the information on nonbank traveler's checks by e-mail or phone.
The demand deposits component of M1 is defined as total demand deposits at commercial banks and foreign related institutions other than those due to the U.S. government, U.S. and foreign depository institutions, and foreign official institutions. In order to avoid double counting those deposits that are simultaneously on the books of two depository institutions, the demand deposit component of M1 excludes cash items in the process of collection (CIPC) and Federal Reserve float. Demand deposits due to depository institutions in the United States and the U.S. government, as well as other demand deposits and CIPC, are reported on the FR 2900 and, for institutions that do not file the FR 2900, are estimated using data reported on the Call Reports. Demand deposits held by foreign banks and foreign official institutions are estimated using data reported on the Call Reports. Federal Reserve float is obtained weekly from the consolidated balance sheet of the Federal Reserve Banks, which is published each week in the Federal Reserve Board's H.4.1 statistical release.
The other checkable deposits component of M1 consists of negotiable order of withdrawal (NOW) accounts and automated transfer service (ATS) balances at banks, thrifts, and foreign related institutions, credit union share draft balances, and demand deposits at thrifts. These items are reported on the FR 2900 and, for institutions that do not file the FR 2900, are estimated using data reported on the Call Reports.
The savings deposits component of M2 consists of passbook-type savings deposits as well as MMDAs at banks and thrifts. This item is reported on the FR 2900 and, for institutions that do not file the FR 2900, is estimated using data reported on the Call Reports.5
The small-denomination time deposits component of M2 includes time deposits at banks and thrifts with balances less than $100,000. The small-denomination time deposit component of M2 excludes individual retirement account (IRA) and Keogh balances at depository institutions because heavy penalties for pre-retirement withdrawals make these balances too illiquid to be included in the monetary aggregates. Gross small-denomination time deposits are derived as the difference between total time deposits and time deposits with balances of $100,000 or more, both of which are reported on the FR 2900. For institutions that do not file an FR 2900, gross small-denomination time deposits are estimated using data reported on the Call Reports. IRA and Keogh account balances at depository institutions are estimated using data reported on the Call Reports.6
The retail money funds component of M2 and the memorandum item institutional money funds are constructed from weekly data collected by the Investment Company Institute (ICI), a trade association for the investment company industry. ICI collects weekly data from approximately 1850 funds.7 The retail money funds component of M2 excludes IRA and Keogh balances held by MMMFs, which are reported by ICI on a quarterly basis.
A. Processing of the H.6 Release
The H.6 release is released each Thursday, generally at 4:30p.m., unless Thursday is a federal holiday, in which case the release is issued on Friday, generally at 4:30 p.m. The release incorporates money stock data through the week that ended on Monday of the previous week (ten days earlier). Current H.6 data and the historical time series are also made available to the public electronically on the Federal Reserve Board's public web site, found at http://www.federalreserve.gov/releases/ and through the U.S. Department of Commerce's economic bulletin board (STAT-USA), shortly after 4:30 p.m. The H.6 release has been published on time every week over the past three years.
Release to the public is handled by the Federal Reserve Board's Public Affairs Office. Interested parties may receive the publication by mail for a fee, though the mailing list includes less than 25 addressees. Many people obtain the data through secondary sources such as newspapers, the U.S. Department of Commerce's economic bulletin board, electronic data systems, and private data collection firms.
B. Avoidance of Premature Disclosure
Data on the H.6 release are provided to the public in aggregate form only. For most of the underlying reports, data from individual respondents are held confidential under the Freedom of Information Act.
Before publication on Thursday afternoon, access to the latest H.6 data is limited to members of the Board of Governors and selected Federal Reserve staff members. The Board’s Public Affairs office releases the H.6 data to the news services generally thirty minutes before the data are released to the public. There has been no premature disclosure of the data by the Federal Reserve over the past three years.
C. Accuracy and Reliability
Data on the H.6 release revise for three reasons: (1) revisions to the data reported; (2) revisions to estimates that result from newly reported monthly or quarterly data; and (3) annual revisions to seasonal factors.
FR 2900 weekly data for the latest five weeks are especially subject to revision, and these revisions are included in the data published each week. Similarly, revisions to the past three quarters of quarterly FR 2900 data are included in the data published each week. At least twice each year revisions to FR 2900 data outside the window described above are published on the H.6 release, and historical data incorporating these revisions are made available on the Federal Reserve Board's public web site.
Newly reported data from the quarterly Call Reports and revised data from previously reported Call Reports are used to revise estimates of several netting items (discussed above) as well as estimates of deposits and vault cash data for those depository institutions that do not report on the FR 2900. Generally, these revisions are included on the H.6 release quarterly.
Data on IRA and Keogh balances held by MMMFs are used to revise prior estimates of this item about quarterly and are included on the H.6 release (IRA and Keogh balances held by MMMFs are subtracted from gross retail MMMFs).
In late January or early February each year, seasonal factors for the aggregates and their components are re-estimated. The revised seasonal factors are announced to the public in a special cover note on the first H.6 release in which they are incorporated. A comparison of monetary data before and after the factors have been re-estimated is included in that release as well. Revised historical data are posted on the Federal Reserve Board's web site. Any definitional and methodological changes in measurement are usually implemented at the same time and are fully discussed in the cover note.
Experience suggests that the explanations provided in footnotes and special attachments to the H.6 release generally are sufficient to inform the public. Individuals have telephoned or written Federal Reserve Board staff seeking clarification of technical or methodological issues infrequently. The Federal Reserve Board takes pride in the quality, objectivity, utility, and integrity of the information it disseminates to the public. (See "Guidelines for Ensuring and Maximizing the Quality, Objectivity, Utility, and Integrity of Information Disseminated by the Federal Reserve Board" at http://www.federalreserve.gov/iq_guidelines.htm). If there are a significant number of inquiries concerning a specific point, footnote, or text on the H.6 release, then that item may be amended.
D. Dissemination of Revised and Historical Data
Federal Reserve Board publications and the Federal Reserve Board web site are arranged so that historical data (including revisions) are available to the public in a convenient form, and so that revisions can be tracked through time.
The Federal Reserve Board's public web site, www.federalreserve.gov/releases/h6, has the H.6 releases back to March 11, 1999, as well as up-to-date (revised) historical data back to January 1959 for the monthly series, and back to January 1981 for the weekly series. Some historical data are also available in the Federal Reserve Bulletin and the Statistical Supplement to the Federal Reserve Bulletin, as well as in the Federal Reserve's Annual Statistical Digest.
List of Attachments:
1. In March 2006, the publication of the M3 aggregate was discontinued. Other aggregates formerly shown on the H.6 release include the nonfinancial "debt" aggregate (discontinued in 2002) and the "L" aggregate (discontinued in 1998). Return to text
2. Most of the Federal Reserve reports used for construction of the monetary aggregates are used for other purposes as well. Detailed information on these reports is available from the respective supporting statements on file at OMB, in the associated Federal Register notice, or under "Reporting Forms" at http://www.federalreserve.gov/boarddocs/reportforms/default.cfm. Return to text
3. The remaining items on the report are used in the calculation of a depository institution's reserve requirement. Return to text
4. The Call Reports are submitted to the following agencies: the Federal Reserve Board, the Federal Deposit Insurance Corporation, and the Office of the Comptroller of the Currency (which collect data on FFIEC 031/041; OMB No.7100-0036); the Office of Thrift Supervision (which collects data on OTS Form 1313; OMB No. 1550-0023); and the National Credit Union Administration (which collects data on NCUA 5300; OMB No. 3133-0004). Return to text
5. The savings deposit component also includes an estimate of certain telephone transfer accounts at depository institutions. Return to text
6. The small-denomination time deposit component also includes an estimate of retail repurchase agreements held at banks and thrifts. Return to text
7. The "Weekly Report of Assets of Money Market Mutual Funds" (FR 2051a; OMB No. 7100-0012), included as Attachment 5, has been approved for the collection of this information, but since ICI collects the data for its own use and under its own data collection procedures, the FR 2051a is not actually filed by the respondent money funds. Return to text