Project Documentation

Overview

This repository documents an extensive analysis of the impact of the Fed Funds Rate on various sectors of the economy. The study delves into the dynamics of the bond market, stock market, exchange rates, inflation, and unemployment to understand the broader implications of monetary policy adjustments.

Project Structure

```
. ├── README.md ├── quarto.yml ├── _site │   ├── arimax.html │   ├── arma.html │   ├── conclusions.html │   ├── data │   │   └── plot │   │   ├── fed-fund-rate.png │   │   ├── intro1.jpeg │   │   └── t-bill-yield-curve.png │   ├── datasource.html │   ├── datavis.html │   ├── deeplearning.html │   ├── eda.html │   ├── fin-ts-model.html │   ├── forecastplot.png │   ├── forecastplot1.png │   ├── index.html │   ├── intro.html │   ├── search.json │   ├── sitelibs │   │   ├── bootstrap │   │   │   ├── bootstrap-icons.css │   │   │   ├── bootstrap-icons.woff │   │   │   ├── bootstrap.min.css │   │   │   └── bootstrap.min.js │   │   ├── clipboard │   │   │   └── clipboard.min.js │   │   ├── quarto-html │   │   │   ├── anchor.min.js │   │   │   ├── popper.min.js │   │   │   ├── quarto-syntax-highlighting.css │   │   │   ├── quarto.js │   │   │   ├── tippy.css │   │   │   ├── tippy.umd.min.js │   │   │   └── zenscroll-min.js │   │   ├── quarto-nav │   │   │   ├── headroom.min.js │   │   │   └── quarto-nav.js │   │   └── quarto-search │   │   ├── autocomplete.umd.js │   │   ├── fuse.min.js │   │   └── quarto-search.js │   └── styles.css ├── arimax.qmd ├── arma.qmd ├── citation.bib ├── conclusions.qmd ├── data │   ├── data │   │   ├── 1-yrs-t-bill-rate.xlsx │   │   ├── 10-yrs-t-bill-yield.xlsx │   │   ├── 20-yrs-t-bill-yield.xlsx │   │   ├── 3-mon-t-bill-rate.xlsx │   │   ├── 30-yrs-mortgage-rate.xlsx │   │   ├── 30-yrs-t-bill-yield.xlsx │   │   ├── 5-yrs-t-bill-rate.xlsx │   │   ├── 6-mon-t-bill-rate.xlsx │   │   ├── GDP.xlsx │   │   ├── consumer-sentiment.xlsx │   │   ├── cpi-u.xlsx │   │   ├── dollar-index.xlsx │   │   ├── fedfunds.xlsx │   │   ├── sp500.xlsx │   │   ├── srt-bill-rates.xlsx │   │   ├── t-bill-vs-econ-index.xlsx │   │   ├── unemploy.xlsx │   │   └── usd.xlsx │   ├── journal │   │   └── federal-reserve-hls.pdf │   └── plot │   ├── fed-fund-rate.png │   ├── fed.jpg │   ├── intro1.jpeg │   ├── resume.png │   └── t-bill-yield-curve.png ├── datasource.qmd ├── datavis.qmd ├── deeplearning.qmd ├── eda.qmd ├── fin-ts-model.qmd ├── forecastplot.png ├── forecast_plot1.png ├── index.qmd ├── intro.qmd └── styles.css

14 directories, 74 files ```

This repository contains .qmd files for analysis, a bibliography file, datasets in Excel format, PDF documents for reference, and image files for visualization.

Introduction

The introductory intro.qmd addresses the importance of the risk-free rate in the financial ecosystem, with a focus on the Treasury Bill (T-Bill) interest rate as a benchmark. It also clarifies the role of the Federal Reserve in influencing the Fed Funds Rate, which impacts the yield curve and overall interest rates.

Data Source and Visualization

This section (datasource.qmd and datavis.qmd) covers the datasets used for analysis and the visual representation of our findings.

Exploratory Data Analysis

The EDA process is documented in eda.qmd, which includes a rigorous analysis of the data related to the Fed Funds Rate and its economic implications.

Time Series Modeling

Time series models such as ARIMA, ARIMAX, SARIMA, ARIMAX, and VAR are explored in arma.qmd and arimax.qmd files to forecast and understand the temporal patterns in economic data.

Financial Modeling

These files document arch.qmd and garch.qmd shows the methodologies and results of financial analysis ARCH and GARCH conducted on economic data.

Deep Learning Approaches

deeplearning.qmd explores the use of advanced neural networks to model complex economic interactions.

Conclusions

The conclusions.qmd file synthesizes the insights and findings from the various analyses conducted.

References

Refer to citation.bib for a comprehensive list of all the academic and data sources referenced throughout the project.