Data description

tgcr: is the Overnight Tri-Party Repo Rate: We collect the series for the Tri-Party General Collateral Rate (TGCR) from the Federal Reserve Bank of New York’s website: https://www.newyorkfed.org/markets/reference-rates/tgcr, which is available starting in August 2014 and retrieved from Bloomberg the USD Overnight GC Govt Repo series (USRG1T CMPN Curncy) before this date. 

tbill4wk: is 1-month Treasury Bill Rate: We use the 4-Week Treasury Bill Secondary Market Rate (DTB4WK) available from FRED.

imn_avgyield: is the average money market fund yield obtained from proprietary data MoneyNet (pseudo data provided)

ioer: is the interest on reserves, retrieved from FRED the Interest Rate on Excess Reserves series (IOER). Starting in July 2021, the series was replaced with the Interest Rate on Reserve Balances (IORB).

depositrate_ic: is the average bank deposit rate from Call Reports 

rrpontsyaward: is the the reverse repo facility rate, retrieved from the Federal Reserve Bank of New York website: https://www.newyorkfed.org/markets/desk-operations/reverse-repo 

domestic_reverse_repo: is the the reverse repo facility volume from domestic counterpart (excluding foreign central banks), retrieved from the Federal Reserve Bank of New York website: https://www.newyorkfed.org/markets/desk-operations/reverse-repo 

vix: is the CBOE Volatility Index: VIX (VIXCLS) retrieved from FRED

resbaln: is the total reserve balances maintained with federal reserve banks (RESBALNSW), retrieved from FRED:

tga: is the  U.S. Treasury, General Account balance (WTREGEN) retrieved from Fred

outstanding_bills_td: is the weekly level of Treasury Bills outstanding, which we derive from the detailed data about the auction date, offering amount and maturity date from the published auction results available from the Treasury Direct website: https://www.treasurydirect.gov/

mmf_governmentretail_imn is the total asset under management in government-only retail money funds obtained from proprietary data MoneyNet (pseudo data provided)


mmf_govtinstitutional_imn is the total asset under management in government-only institutional money funds obtained from proprietary data MoneyNet (pseudo data provided)

mmf_primeinstitutional_imn is the total asset under management in prime retail money funds obtained from proprietary data MoneyNet (pseudo data provided)

mmf_primeretail_imn is the total asset under management in prime institutional money funds obtained from proprietary data MoneyNet (pseudo data provided)

Dhat_PrimeToGov is the predicted flow from prime to government money funds computed using proprietary data from IMoneyNet following the methodology of Cipriani and La Spada (2021).

