@ This is the data file for "Discrete Policy Changes and Empirical Models of @ the Federal Funds Rate" by Michael Dueker and Robert Rasche in the @ November/December 2004 issue of the Federal Reserve Bank of St. Louis Review. @ @ Data used in the programs. The data used for the correlogram in Table 5 is below the first data set. @ @ ffed = average federal funds effective rate (based on all days) @ gdph = real gross domestic product SAAR $Bil Chained 2000 @ gdppot = potential GDP $Bil @ pceprice = personal consumption expenditures chain price index SA,2000 = 100. @ ffedbusinessday = average federal funds effective rate (based on business days) @ ffedtarg = federal funds rate target @ @ @ ffed Date(yyyyq) discreteness adj gdph gdppot pceprice ffedbusinday ffedtarg @ 198406 10.56 19842.000 0.73656250 5797.9 5951.2 64.599 10.621139 11.00 198409 11.39 19843.000 0.44769231 5854.3 5995.4 65.098 11.407809 11.00 198412 9.27 19844.000 0.0000000 5902.4 6040.9 65.506 9.2407011 8.13 198503 8.48 19851.000 -1.3880303 5956.9 6087.6 66.212 8.4734907 8.50 198506 7.92 19852.000 0.15609375 6007.8 6135.5 66.714 7.9372451 7.75 198509 7.90 19853.000 -0.32553846 6101.7 6184.1 67.144 7.933668 8.00 198512 8.10 19854.000 0.17833333 6148.6 6233.8 67.672 8.1548149 7.75 198603 7.83 19861.000 -0.21212121 6207.4 6284.2 68.159 7.8651077 7.25 198606 6.92 19862.000 -0.36718750 6232.0 6334.9 68.200 6.9553247 6.88 198609 6.21 19863.000 -0.017538462 6291.7 6385.6 68.713 6.2201013 5.88 198612 6.27 19864.000 -0.33560606 6323.4 6436.0 69.203 6.3737971 6.00 198703 6.22 19871.000 0.083636364 6365.0 6486.3 69.984 6.1553788 6.00 198706 6.65 19872.000 0.0000000 6435.0 6536.4 70.586 6.66171 6.75 198709 6.84 19873.000 0.30000000 6493.4 6586.4 71.306 6.8654674 7.31 198712 6.92 19874.000 0.48227273 6606.8 6636.5 71.911 6.9093284 6.81 198803 6.66 19881.000 -0.14742424 6639.1 6686.6 72.534 6.673706 6.75 198806 7.16 19882.000 0.13169231 6723.5 6736.7 73.337 7.1644228 7.50 198809 7.98 19883.000 0.46923077 6759.4 6787.2 74.213 7.9824976 8.13 198812 8.47 19884.000 0.21363636 6848.6 6837.7 74.938 8.4722799 8.75 198903 9.44 19891.000 0.40415385 6918.1 6888.3 75.827 9.458973 9.75 198906 9.73 19892.000 0.41676923 6963.5 6938.9 76.815 9.7313531 9.50 198909 9.08 19893.000 -0.19815385 7013.1 6989.2 77.304 9.0870324 9.00 198912 8.61 19894.000 -0.084615385 7030.9 7039.2 77.943 8.6405628 8.25 199003 8.25 19901.000 -0.35384615 7112.1 7088.9 79.096 8.2555758 8.25 199006 8.24 19902.000 0.0000000 7130.3 7138.0 79.947 8.2398068 8.25 199009 8.16 19903.000 0.0000000 7130.8 7186.5 80.950 8.1869783 8.00 199012 7.74 19904.000 -0.034615385 7076.9 7234.4 81.998 7.748887 7.00 199103 6.43 19911.000 -0.59848485 7040.8 7281.7 82.614 6.4722516 6.00 199106 5.86 19912.000 -0.39062500 7086.5 7328.4 83.072 5.878774 5.75 199109 5.64 19913.000 -0.080769231 7120.7 7374.4 83.661 5.6728709 5.25 199112 4.82 19914.000 -0.30303030 7154.1 7419.8 84.327 4.8275331 4.00 199203 4.02 19921.000 -0.80303030 7228.2 7464.9 84.982 4.0518169 4.00 199206 3.77 19922.000 0.0000000 7297.9 7509.7 85.526 3.8172439 3.75 199209 3.26 19923.000 -0.023076923 7369.5 7554.7 86.123 3.3084212 3.00 199212 3.04 19924.000 -0.18560606 7450.7 7599.9 86.666 3.0820726 3.00 199303 3.04 19931.000 0.0000000 7459.7 7645.7 87.116 3.0844348 3.00 199306 3.00 19932.000 0.0000000 7497.5 7692.5 87.678 3.0213203 3.00 199309 3.06 19933.000 0.0000000 7536.0 7739.8 87.979 3.0892424 3.00 199312 2.99 19934.000 0.0000000 7637.4 7788.2 88.443 2.9904323 3.00 199403 3.21 19941.000 0.0000000 7715.1 7837.6 88.794 3.2416549 3.50 199406 3.94 19942.000 0.31250000 7815.7 7888.2 89.278 3.9489033 4.25 199409 4.49 19943.000 0.28846154 7859.5 7940.6 90.070 4.5056475 4.75 199412 5.17 19944.000 0.24242424 7951.6 7994.5 90.472 5.1756926 5.50 199503 5.81 19951.000 0.35769231 7973.7 8049.6 90.909 5.8198821 6.00 199506 6.02 19952.000 0.16923077 7988.0 8105.9 91.412 6.0211423 6.00 199509 5.80 19953.000 0.0000000 8053.1 8163.7 91.801 5.8133609 5.75 199512 5.72 19954.000 -0.011538462 8112.0 8222.8 92.185 5.7538672 5.50 199603 5.36 19961.000 -0.21923077 8169.2 8283.4 92.759 5.3787716 5.25 199606 5.24 19962.000 -0.084615385 8303.1 8345.8 93.352 5.2793307 5.25 199609 5.31 19963.000 0.0000000 8372.7 8409.7 93.725 5.3351914 5.25 199612 5.28 19964.000 0.0000000 8470.6 8475.5 94.352 5.3143356 5.25 199703 5.28 19971.000 0.0000000 8536.1 8543.0 94.781 5.2979683 5.50 199706 5.52 19972.000 0.23046875 8665.8 8612.3 94.961 5.5531241 5.50 199709 5.53 19973.000 0.0000000 8773.7 8683.5 95.218 5.5652488 5.50 199712 5.51 19974.000 0.0000000 8838.4 8756.2 95.535 5.5356449 5.50 199803 5.52 19981.000 0.0000000 8936.2 8830.3 95.610 5.5240758 5.50 199806 5.50 19982.000 0.0000000 8995.3 8905.7 95.771 5.509062 5.50 199809 5.53 19983.000 0.0000000 9098.9 8981.7 96.088 5.5545909 5.25 199812 4.86 19984.000 -0.24242424 9237.1 9059.2 96.443 4.8765327 4.75 199903 4.73 19991.000 -0.16287879 9315.5 9137.9 96.687 4.7506774 4.75 199906 4.75 19992.000 0.0000000 9392.6 9218.1 97.319 4.7544661 5.00 199909 5.09 19993.000 0.24615385 9502.2 9300.3 97.855 5.1174242 5.25 199912 5.31 19994.000 0.14393939 9671.1 9383.6 98.438 5.3062689 5.50 200003 5.68 20001.000 0.12121212 9695.6 9467.6 99.296 5.7242443 6.00 200006 6.27 20002.000 0.30000000 9847.9 9551.9 99.777 6.2789572 6.50 200009 6.52 20003.000 0.23846154 9836.6 9635.5 100.239 6.5200759 6.50 200012 6.47 20004.000 0.0000000 9887.7 9718.7 100.687 6.4981962 6.50 200103 5.59 20011.000 0.0000000 9875.6 9802.5 101.475 5.6029947 5.00 200106 4.33 20012.000 -0.60156250 9905.9 9886.5 102.146 4.3281228 3.75 200109 3.50 200109 -0.56923077 9871.1 9970.9 102.291 3.4760916 3.00 200112 2.13 200112 -0.56153846 9910.0 10055.8 102.437 2.1337998 1.75 200203 1.73 200203 -0.39772727 9993.5 10142.3 102.660 1.7374165 1.75 200206 1.75 200206 0.00000000 10052.6 10230.1 103.386 1.7562773 1.75 200209 1.74 200209 0.00000000 10117.3 10318.4 103.894 1.7488032 1.75 200212 1.44 200212 0.00000000 10135.9 10406.5 104.250 1.4414549 1.25 200303 1.25 200303 -0.19696970 10184.4 10495.0 105.080 1.2538689 1.25 200306 1.25 200306 0.00000000 10287.4 10583.6 105.269 1.2527201 1.00 200309 1.02 200309 -0.23461538 10472.8 10672.6 105.689 1.0139519 1.00 200312 1.00 200312 0.00000000 10580.7 10762.3 106.005 0.99895652 1.00 200403 1.00 200403 0.00000000 10697.5 10851.6 106.860 1.0020922 1.00 200406 1.01 200406 0.00000000 10778.0 10940.0 107.724 1.0132107 1.25 @@@@@@@@@ Data for Table 5 @@@@@@@@@ name ITAYSM TARGEOP GAP disc. Model-Implied EOP Difference Rate Target @@@@@@@@ 1985Q3 8.105381786 8 0.105381786 1985Q4 8.375573315 7.75 0.625573315 1986Q1 7.913645943 7.25 0.663645943 1986Q2 6.173948635 6.88 -0.706051365 1986Q3 6.45316567 5.88 0.57316567 1986Q4 6.216100446 6 0.216100446 1987Q1 6.771067503 6 0.771067503 1987Q2 8.463495273 6.75 1.713495273 1987Q3 8.429834043 7.31 1.119834043 1987Q4 8.914049926 6.81 2.104049926 1988Q1 8.279042057 6.75 1.529042057 1988Q2 9.812640866 7.5 2.312640866 1988Q3 10.0870135 8.13 1.957013496 1988Q4 10.87534754 8.75 2.125347536 1989Q1 11.51006446 9.75 1.760064459 1989Q2 9.290725104 9.5 -0.209274896 1989Q3 8.024204444 9 -0.975795556 1989Q4 7.221971493 8.25 -1.028028507 1990Q1 8.204191049 8.25 -0.045808951 1990Q2 7.335920408 8.25 -0.914079592 1990Q3 7.650647352 8 -0.349352648 1990Q4 6.8666557 7 -0.1333443 1991Q1 4.339946481 6 -1.660053519 1991Q2 3.494215801 5.75 -2.255784199 1991Q3 2.428183928 5.25 -2.821816072 1991Q4 1.517613494 4 -2.482386506 1992Q1 2.282628335 4 -1.717371665 1992Q2 2.831881021 3.75 -0.918118979 1992Q3 3.375436641 3 0.375436641 1992Q4 5.783304369 3 2.783304369 1993Q1 4.975406334 3 1.975406334 1993Q2 4.890247228 3 1.890247228 1993Q3 4.211631992 3 1.211631992 1993Q4 4.810368754 3 1.810368754 1994Q1 5.503495032 3.5 2.003495032 1994Q2 6.327763194 4.25 2.077763194 1994Q3 7.1965745 4.75 2.4465745 1994Q4 7.637522687 5.5 2.137522687 1995Q1 7.339949194 6 1.339949194 1995Q2 6.781492111 6 0.781492111 1995Q3 6.092486522 5.75 0.342486522 1995Q4 6.063907584 5.5 0.563907584 1996Q1 6.254329508 5.25 1.004329508 1996Q2 7.384709746 5.25 2.134709746 1996Q3 7.41976336 5.25 2.16976336 1996Q4 8.281407201 5.25 3.031407201 1997Q1 7.96917395 5.5 2.46917395 1997Q2 7.976580511 5.5 2.476580511 1997Q3 8.215190687 5.5 2.715190687 1997Q4 7.530147532 5.5 2.030147532 1998Q1 7.169850798 5.5 1.669850798 1998Q2 6.897457928 5.5 1.397457928 1998Q3 7.071562328 5.25 1.821562328 1998Q4 4.711870213 4.75 -0.038129787 1999Q1 4.657402452 4.75 -0.092597548 1999Q2 5.425931661 5 0.425931661 1999Q3 6.408061098 5.25 1.158061098 1999Q4 7.457852782 5.5 1.957852782 2000Q1 7.809673981 6 1.809673981 2000Q2 8.26656373 6.5 1.76656373 2000Q3 7.014506837 6.5 0.514506837 2000Q4 6.380441519 6.5 -0.119558481 2001Q1 5.139483145 5 0.139483145 2001Q2 4.83493036 3.75 1.08493036 2001Q3 2.951943279 3 -0.048056721 2001Q4 1.923783922 1.75 0.173783922 2002Q1 0.93795361 1.75 -0.81204639 2002Q2 0.714742338 1.75 -1.035257662 2002Q3 1.07170354 1.75 -0.67829646 2002Q4 0.676175838 1.25 -0.573824162 2003Q1 1.25420335 1.25 0.00420335 2003Q2 0.534877974 1 -0.465122026 2003Q3 1.429649757 1 0.429649757 2003Q4 1.56353657 1 0.56353657 2004Q1 1.882764612 1 0.882764612 2004Q2 2.893362658 1.25 1.643362658