Effective Federal Funds Rate

Source:
Board of Governors of Fed Reserve System

Release:
Selected Interest Rates

Units:
Percent, Not Seasonally Adjusted

Frequency:
Daily, 7-Day

Available Through:
12/06/2021

Why Use:

The effective federal funds rate is set by the Federal Open Market Committee, or FOMC. The effective federal funds rate is the most influential interest rate in the nation’s economy, affecting employment, growth and inflation.

Suggested Treatment:

The data shows autocorrection and a non-normal distribution. The data should be differenced. While the Order Norm transformation, provides the best normality, the Boxcox variable will also perform well.

Grain Transformation:

Data is unable to be distributed by time or geography. The roll up method used is Weighted Average.

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Effective Federal Funds Rate

Auto Correction Function

Auto Correlation Function After Differencing

Partial Auto Correlation Function

Seasonal Impact

Seasonal and Trend Decompostion

Autocorrectation Analysis:

Data shows autocorrectation indicating a need for differencing

The ACF indicates 2 order differencing is appropriate.

Following first order differencing, no further differencing is required based on the differenced ACF at lag one of -0.10

Trend Analysis:

The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 4.91 p-value = 0.01 indicates that the data is not stationary.

Distribution Analysis:

The Shapiro-Wilk test returned W = 0.77 with a p-value =0.00 indicating the data does not follow a normal distribution.

A skewness score of 0.96 indicates the data are moderately skewed.

Hartigan's dip test score of 0.04 with a p-value of 0.00 inidcates the data is multimodal

Statistics (Pearson P/ df, lower => more normal)

No transform
63.60
Box-cox
20.19
Log_b(x-a)
23.36
sqrt(x+a)
33.89
exp(x)
87.13
arcsinh(x)
48.83
Yeo-Johnson
34.81
OrderNorm
3.70

Citation:

Board of Governors of the Federal Reserve System (US), Effective Federal Funds Rate [DFF], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DFF, December 16, 2019.

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