READY SIGNAL CONTROL DATA

Interest Rate on Excess Reserves

Why Use This Data Source In Your Models?

Interest rate on excess reserves is used in coordination with the Fed funds rate to encourage bank behavior that supports Federal Reserve targets. This indicates whether things are trending toward recession or inflation.

Interest Rate on Excess Reserves

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Automated Data Profiling

Ready Signal automatically profiles each data set and offers up suggested industry standard data science treatments to utilize with these data in your models.

Suggested Treatment:

The data shows auto correlation and a non-normal distribution. The data should be differenced. While the Order Norm transformation, provides the best normality, the Square Root 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.

Source:
Board of Governors of Fed Reserve System

Release:
Selected Interest Rates

Units:
Percent, Not Seasonally Adjusted

Frequency:
Daily, 7-Day

Available Through:
07/28/2021

Suggested Treatment:

The data shows auto correlation and a non-normal distribution. The data should be differenced. While the Order Norm transformation, provides the best normality, the Square Root 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.

Auto Correlation Analysis:

Data shows auto correlation indicating a need for differencing

The ACF indicates 1 order differencing is appropriate.

Following first order differencing, no further differencing is required based on the differenced ACF at lag one of 0.00

Trend Analysis:

The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 3.74 p-value = 0.01 indicates that the data is not stationary.

Distribution Analysis:

The Shapiro-Wilk test returned W = 0.76 with a p-value =0.00 indicating the data does not follow a normal distribution.

A skewness score of 1.07 indicates the data are substantially skewed.

Hartigan's dip test score of 0.07 with a p-value of 0.00 inidcates the data is multimodal

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

No transform
717.73
Box-cox
76.94
Log_b(x-a)
75.52
sqrt(x+a)
72.01
exp(x)
104.43
arcsinh(x)
72.53
Yeo-Johnson
80.18
OrderNorm
69.67

Auto Correlation Function

Auto Correlation Function After Differencing

Partial Auto Correlation Function

Seasonal Impact

Seasonal and Trend Decompostion


Citation:

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

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