✦ LIBER ✦

Forecasting the Treasury's balance at the Fed

✍ Scribed by Daniel L. Thornton

Publisher: John Wiley and Sons
Year: 2004
Tongue: English
Weight: 436 KB
Volume: 23
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.920

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

As part of the Fed's daily operating procedure, the Federal Reserve Bank of New York, the Board of Governors and the Treasury make a forecast of that day's Treasury balance at the Fed. These forecasts are an integral part of the Fed's daily operating procedure. Errors in these forecasts can generate variation in reserve supply and, consequently, the federal funds rate. This paper evaluates the accuracy of these forecasts. The evidence suggests that each agency's forecast contributes to the optimal, i.e., minimum variance, forecast and that the Trading Desk of the Federal Reserve Bank of New York incorporates information from all three of the agency forecasts in conducting daily open market operations. Moreover, these forecasts encompass the forecast of an economic model. Copyright © 2004 John Wiley & Sons, Ltd.

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