Formula constructed based on Arthur Hayes post, 'Teach Me Daddy'.
USD Liquidity Conditions Index = The Fed’s Balance Sheet — NY Fed Total Amount of Accepted Reverse Repo Bids — US Treasury General Account Balance Held at NY Fed
USD Liquidity — Number Go Up:
Fed Balance Sheet — Increases
RRP Balances — Decreases
TGA — Decreases
USD Liquidity — Number Go Down:
Fed Balance Sheet — Decreases
RRP Balances — Increases
TGA — Increases
USD Liquidity Conditions Index = The Fed’s Balance Sheet — NY Fed Total Amount of Accepted Reverse Repo Bids — US Treasury General Account Balance Held at NY Fed
USD Liquidity — Number Go Up:
Fed Balance Sheet — Increases
RRP Balances — Decreases
TGA — Decreases
USD Liquidity — Number Go Down:
Fed Balance Sheet — Decreases
RRP Balances — Increases
TGA — Increases
Note
Updated equation and symbols: ECONOMICS:USCBBS-FRED:RRPONTTLD-FRED:WTREGEN
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Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.