FRED API Data Sources

FRED API Data Sources

Overview

The Federal Reserve Economic Data (FRED) API provides reliable economic time series data. This skill uses four key series to track government shutdown liquidity impacts.

Series Configuration

API Access

Endpoint: https://api.stlouisfed.org/fred/series/observations

Required Parameters:

• series_id: One of the series codes above
• api_key: Authentication key
• file_type: json (recommended) or csv
• observation_start: Start date (YYYY-MM-DD)
• observation_end: End date (YYYY-MM-DD)

Example Request:

https://api.stlouisfed.org/fred/series/observations?series_id=WTREGEN&api_key=YOUR_KEY&file_type=json&observation_start=2025-10-01&observation_end=2025-11-07

Data Update Schedule

• Weekly data (TGA, Reserves): Published every Wednesday after market close

  • Reflects data as of previous Wednesday
  • Best time to run analysis: Wednesday evenings or Thursday mornings

• Daily data (EFFR, SOFR): Published next business day

  • SOFR: Published ~8:00 AM ET by NY Fed
  • EFFR: Published ~9:00 AM ET by NY Fed

Key Interpretation Notes

TGA (Treasury General Account)

The government's "checking account" at the Fed.

• Rising TGA during shutdown → Revenue inflow continues while spending stops
• Falling TGA after shutdown → Fiscal spending resumes, funds return to economy
• Mechanical relationship: TGA ↑ implies Bank Reserves ↓ (and vice versa)

Bank Reserves

Total reserves commercial banks hold at the Federal Reserve.

• Ample reserves (QE era): >$2.5T → TGA shocks absorbed, no market impact
• Scarce reserves (QT era): <$2T → TGA shocks transmit to funding rates
• Current critical zone: ~$2.8T → High sensitivity to TGA fluctuations

EFFR (Effective Federal Funds Rate)

Volume-weighted median rate on overnight fed funds transactions.

• Fed's primary policy rate target (currently set via IORB - Interest on Reserve Balances)
• In well-functioning markets: EFFR ≈ IORB (Fed's control rate)
• EFFR stability indicates Fed retains policy control

SOFR (Secured Overnight Financing Rate)

Rate on overnight Treasury repo transactions (collateralized lending).

• Broader market indicator (~$1T daily volume)
• More sensitive to liquidity conditions than EFFR
• SOFR > EFFR (positive premium) indicates funding market stress

SOFR Premium

Definition: SOFR - EFFR (measured in basis points)

Interpretation:

• 0-5 bps: Normal market conditions
• 5-15 bps: Moderate liquidity stress
• 15-30 bps: Significant stress (stealth tightening effect)
• >30 bps: Acute crisis (requires Fed intervention)

Historical context:

• 2013 shutdown: ~0 bps (no effect)
• 2018-19 shutdown: Up to 75 bps (significant tightening)
• 2025 shutdown: Up to 36 bps post-rate-cut (acute stress requiring SRF)

Data Quirks and Limitations

1. Weekly data gaps: TGA and Reserves only update weekly, making daily tracking impossible
2. Holiday effects: EFFR/SOFR not published on Fed holidays or weekends
3. Month/quarter-end spikes: SOFR often spikes at period-ends due to balance sheet constraints (separate from shutdown effects)
4. Revision policy: Data rarely revised, but check FRED for any updates
5. SRF not in FRED: Standing Repo Facility usage must be checked separately on NY Fed website

Additional Context Data (Not Currently Used)

Potentially useful for deeper analysis:

• IORB (IORB): Interest rate on reserve balances (Fed's control rate)
• ON RRP (RRPONTSYD): Overnight Reverse Repo volume
• 10Y Treasury (DGS10): For term spread analysis
• Debt subject to limit (GFDEBTN): For debt ceiling context

Rate Limits

• FRED API: Generally very permissive
• No formal rate limit documented
• Recommended: <100 requests per minute to be safe
• Current skill usage: 4 series × 1 request = 4 requests per run (well within limits)

Error Handling

Common API errors:

• 400 Bad Request: Check date format (must be YYYY-MM-DD)
• 404 Not Found: Invalid series_id
• 500 Internal Server Error: FRED service issue, retry after delay

References

• FRED API Documentation: https://fred.stlouisfed.org/docs/api/fred/
• Series catalog: https://fred.stlouisfed.org/
• NY Fed SOFR page: https://www.newyorkfed.org/markets/reference-rates/sofr