U.S. Treasury Securities Held by the Fed Reserve

Source:
Board of Governors of Fed Reserve System

Release:
Factors Affecting Reserve Balances

Units:
Millions of U.S. Dollars, Not Seasonally Adjusted

Frequency:
Weekly, as of Wednesday

Available Through:
12/07/2021

Why Use:

This data measures the amount of money that the Federal Reserve has borrowed from the public, and this number changes as the Fed controls the money supply. This is indicative of the federal finds rate and loan interest rates.

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 Yeo Johnson variable will also perform well.

Grain Transformation:

Data is able to be distributed by time but not by geography. The roll up method used is Sum.

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U.S. Treasury Securities Held by the Fed Reserve

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.

Further differencing is reccommended

Trend Analysis:

The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 1.70 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 -1.05 indicates the data are substantially skewed.

Hartigan's dip test score of 0.05 with a p-value of 0.00 inidcates the data is multimodal

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

No transform
11.31
Box-cox
10.31
Log_b(x-a)
11.91
sqrt(x+a)
11.39
exp(x)
NA
arcsinh(x)
11.91
Yeo-Johnson
9.10
OrderNorm
1.22

Citation:

Board of Governors of the Federal Reserve System (US), Assets: Securities Held Outright: U.S. Treasury Securities: All: Wednesday Level [TREAST], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/TREAST, December 19, 2019.

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