Chapter 1 Web Safari
Interest Rate Data
What is the prime rate? How does the rate on 3-month commercial paper compare with the rate on 3-month T-bills? What does the term structure of Treasury securities look like? How does the rate on Aaa debt compare with risky Baa debt? With the rate on long-term treasury debt? This web safari will show you where to get the answers to these and other questions about interest rates.
Go to http://www.federalreserve.gov, which is the home page of the Board of Governors of the Federal Reserve System. Click on the Research and Data link on the left side of the page.
After clicking on Research and Data, you will see the Research and Data screen. Click on the first heading called: Statistics: Releases and Historical Data.
After clicking on the Statistics: Releases and Historical Data link, you should be at the following URL: http://www.federalreserve.gov/releases/ This screen has sections for daily, weekly, and monthly interest rate information. Scroll down the page to get weekly, monthly, and historical interest rates. Click on the Daily update link under Selected Interest Rates to view the most recent rates.
After clicking Daily Update, you will see the Selected Interest Rates screen at the following URL: http://www.federalreserve.gov/releases/h15/update/. As you scroll down the page, you will see current selected interest rates. The listed interest rates are shown. You will see the various interest rates the Federal Reserve releases daily. You can also get a similar screen for weekly or monthly interest rate information.
We extracted the interest rates for March 12-15, 2001 that were shown on the web and put them in a table for easier viewing, as shown below.
What is the most recent prime rate? As shown in the yellow cell below, it was 8.5 percent when we extracted this data.
How does the 3-month rate on nonfinancial commercial paper compare with the rate on 3-month T-bills? The turquoise cells show that the 3-month rate on nonfinancial commercial paper is slightly higher than the rate on T-bills, which should be expected, since commercial paper is slightly riskier and less liquid than T-bills.
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Table
1 (Part 1): Selected Daily Interest Rates
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MON
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TUE
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WED
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THU
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|
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Mar
12
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Mar
13
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Mar
14
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Mar
15
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| SELECTED INTEREST RATES |
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|
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| Federal funds (effective) |
5.50
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5.50
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5.48
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5.52
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| Commercial paper 3 4 5 6 |
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|
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|
|
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5.10
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5.09
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5.05
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5.02
|
|
4.99
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4.94
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4.90
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4.91
|
|
4.85
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4.84
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4.85
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4.78
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|
|
|
|
|
|
5.18
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5.10
|
5.04
|
4.98
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|
5.02
|
5.01
|
4.96
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4.96
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|
4.91
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4.90
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4.85
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4.81
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| CDs (secondary market) 3 7 |
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|
|
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5.15
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5.11
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5.09
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5.01
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|
5.00
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4.97
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4.95
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4.86
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|
4.88
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4.84
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4.79
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4.74
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| Eurodollar deposits (London) 3 8 |
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|
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|
5.13
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5.09
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5.05
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4.97
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|
4.98
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4.98
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4.92
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4.87
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|
4.86
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4.84
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4.75
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4.70
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| Bank prime loan 2 3 9 |
8.50
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8.50
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8.50
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8.50
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| Discount window borrowing |
5.00
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5.00
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5.00
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5.00
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| U.S. Government securities |
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|
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|
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|
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4.54
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4.54
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4.43
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4.41
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|
4.43
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4.41
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4.30
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4.27
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|
4.23
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4.23
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4.10
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4.01
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What does the current term structure of Treasury securities look like? As shown in the yellow cells the term structure was upward sloping, starting at about 4.52% and rising to about 5.43% (and then sloping back downward slightly).
How does the rate on Aaa debt compare with risky Baa debt? With the rate on long-term treasury debt? The turquoise cells show that the rate on Aaa debt was about 0.87 percentage points lower than the rate on Baa debt (7.84 - 6.97 = 0.87). This should make sense, because the Aaa debt is less risky. When comparing the Aaa debt with 30-year treasury debt, we see that the Aaa debt is about 1.68 percentage points higher than the treasury debt (6.97 - 5.29 = 1.68), because the Aaa debt is more risky and less liquid than treasury debt.
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Mar
12
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Mar
13
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Mar
14
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Mar
15
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| Treasury constant maturities 11 |
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4.66
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4.66
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4.54
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4.52
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|
4.60
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4.57
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4.46
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4.42
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|
4.43
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4.43
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4.29
|
4.19
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|
4.46
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4.46
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4.32
|
4.22
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|
4.54
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4.53
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4.40
|
4.31
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|
4.72
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4.75
|
4.62
|
4.55
|
|
4.94
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4.97
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4.86
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4.82
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|
4.92
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4.95
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4.84
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4.81
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|
5.48
|
5.50
|
5.43
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5.43
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|
5.31
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5.34
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5.28
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5.29
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| Interest rate swaps 12 |
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|
|
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4.89
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4.88
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4.80
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4.72
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|
5.05
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5.05
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4.99
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4.90
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|
5.26
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5.27
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5.20
|
5.12
|
|
5.41
|
5.43
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5.37
|
5.29
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|
5.53
|
5.56
|
5.50
|
5.42
|
|
5.71
|
5.74
|
5.69
|
5.62
|
|
5.86
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5.90
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5.86
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5.80
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|
6.12
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6.18
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6.14
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6.12
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| Corporate bonds |
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|
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|
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|
|
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6.95
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6.96
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6.96
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6.97
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|
7.78
|
7.80
|
7.82
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7.84
|
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You may also get Historical Data for interest rates. First you will need to get back to the screen for Statistics: Releases and Historical Data, which has a URL of http://www.federalreserve.gov/releases/. As you scroll down the screen, you will see Historical Data for weekly and monthly interest rates. Scroll down to the section for Weekly Releases, then look at H15, the section for Selected Interest Rates. In this example, you will click on Historical Data under Weekly Selected Interest Rates.
After clicking
on Historical Data, you will come to a screen with this URL: http://www.federalreserve.gov/releases/h15/data.htm.
As you scroll down the screen, you will see all the available historical data
for selected interest rates. You are able to download all this Historical Data
by clicking the link All historical data files (ZIP 1.5M), or you can download
selected items.