TGCR and EFFR elasticities to the TGA
This page shows a daily measure of repo and fed funds market elasticity to changes in reserves based on 90-day rolling regressions of changes in TGCR spreads over ON-RRP award rates and changes in EFFR spreads over IOER rates on changes in TGA volumes. The methodology follows Gissler et al. (2025), replacing the average repo rate earned by MMFs with the public TGCR index, a median rate also based largely on MMF repo transactions. Higher values indicate the repo market is more sensitive to small changes in reserves.
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The underlying data is available in CSV format. The dataset contains the following elements:
- date: Date of the observation
- tgcr_coefficient: Regression coefficient for TGCR spread changes on TGA volume changes
- tgcr_lower_ci: Lower bound of 95% confidence interval for TGCR coefficient
- tgcr_upper_ci: Upper bound of 95% confidence interval for TGCR coefficient
- effr_coefficient: Regression coefficient for EFFR spread changes on TGA volume changes
- effr_lower_ci: Lower bound of 95% confidence interval for EFFR coefficient
- effr_upper_ci: Upper bound of 95% confidence interval for EFFR coefficient