INTEREST RATE DATABASE
The interest rate database provides the most extensive monthly
database available anywhere in the world. Annual data go back to 1522
and monthly data go back to 1694. Interest rate data are provided for
over 50 countries covering seven important types of interest rates.
Since there is no single interest rate, we have provided
representative interest rates that reflect how different risks and
maturities of debt instruments affect the yield on debt instruments
within each country. We have divided the interest rate database into
eleven categories, each of which covers an important portion of the
interest rate market:
IB
IC
ID
IG
IH
IL
IM
IN
IP
IT
Interbank offer rates within that country of one month or more
Commercial Bank Deposit Rates, Savings Deposit Rates and Time
Deposit Rates
Official Discount rates, Lombard rates and Repo Rates of Central
Banks
Government Bond Yields—including bonds and government notes
Historical Interest Rates
Lending Rates to Business, Prime Lending Rates and Mortgage Rates
Money Market, Call Money Interest Rates and Overnight Interbank
Rates, all of which are one week or less in maturity
Industrial, Corporate, and Mortgage Bonds
Private Discount rates and Repurchase Agreement Rates
Treasury Bills issued by sovereign governments
Whenever yields for these different types of debt instruments are
available, we have included them in the database, so that analysis of
risk and maturity as well as temporal changes in interest rates can be
conducted. Unless otherwise indicated, interbank rates, deposit rates,
private discount rates, lending rates and treasury bill yields are all
for 90-days.
For the United States, data are provided for all eleven categories.
Instead of providing monthly data, whenever possible, weekly data are
provided, and the weekly data extend back to the 1870s for the United
States. The extensive yield data collected by Moody’s and by Standard
and Poor’s are also available in the database as well as information on
U.S. Treasuries.
The data base for United States interest rates can be divided into
three sections: historical interest rates which are no longer kept,
current interest rates, and indices collected by Standard and Poor’s or
Moody's. The primary problem with indices of interest rates is the
changing maturities of bonds, and how to adjust the indices when retired
bonds are replaced by new bonds. Because the yield curve is upward
sloping, if bonds within the indices were not replaced, each index would
have a downward bias until the old bonds were replaced with new bonds,
which would cause a sudden increase in the interest rate of the index.
Moody’s and Standard and Poor’s usually introduced a new index every few
years after maturities had declined, then recalculated the yields for
the new indices and replaced the data for the old yields.
The Federal Reserve indices of Treasury bills/notes/bonds are
constant maturity indices, reducing this problem, and Moody's and
Standard and Poor's periodically change the composition of the indices'
bonds. As always, the goal has been to provide the longest historical
indices that are available, not to provide every index that exists.
Since the primary factors that cause interest rate differentials are
risk and maturity, the various indices that are included try to provide
a full range of indices to explore the effect of changes in risk and
maturity on interest rates.
The Federal Reserve Bank of St. Louis provides historical data on
interest rates and other data series via the Internet through their FRED
data system.
2
DISCOUNT RATES
Unless otherwise indicated all discount rates are rates set by the
Central bank at the end of the month. There are three types of discount
rates which central banks use to influence domestic financial markets:
discount rates for loans to banks, Lombard rates for discounting private
paper, and Repurchase Agreement (Repo) rates for overnight intervention.
Unless otherwise stated, all rates are discount rates.
With the introduction of the Euro in 1999, the European Central Bank
replaced domestic central banks, and a single discount rate and a single
repo rate were introduced for the Euro zone. Since the domestic central
banks will continue to intervene in their economies, we will continue to
provide discount and repo rates for the eleven members of the Euro zone,
but the discount/repo rates will be the same for each country.
Current Series
Country
Starts
Argentina
December 1891
08/23/2001Australia
July 1920
09/01/1975Austria
July 1860
07/01/1934Austria Lombard Rate
04/30/1945Bangladesh
December 1980
Barbados
January 1977
Belgium Discount Rate
December 1857
01/04/1999Bolivia
January 1932
Botswana
August 1976
Brazil Discount Rate
January 1948
Brazil Lending Rate
10/01/1996Bulgaria
December 1991
Canada
March 1935
01/02/1990Central African Repub. July 1969
Chile
January 1925
Chile Inflation Adjust. August 2000
Colombia
July 1923
Colombia Open Market Operations
12/31/1998Costa Rica Discount
April 1939
01/02/1997Costa Rica Deposit
January 1994
01/02/1997Cote d’Ivoire
January 1964
Croatia
January 1992
Cyprus
May 1969
Czech Republic
January 1990 (03/1919)
Czech Republic Lombard January 1993
Denmark
January 1864
Denmark Repo Rate
March 1992
Ecuador
May 1938
Ecuador Dollar
March 2000
Egypt
May 1951
Europe Deposit Rate
01/04/1999Europe Lending Rate
01/04/1999Europe Repo Rate
01/04/1999Finland
01/01/186701/195606/01/1978France Repo Rate
January 1960
01/04/1999Germany
July 1860
05/01/1932Germany Lombard Rate
July 1860
10/01/1932Germany Repo Rate
January 1988
01/04/1999Ghana
March 1960
Greece Discount Rate
January 1913
01/01/2001Hong Kong
June 1992
3
File Name
IDARGD
IDAUSD
IDAUTD
IDAUTLD
IDBGDM
IDBRBM
IDBELD
IDBOLM
IDBWAM
IDBRAM
IDBRAAD
IDBGRM
IDCAND
IDCAFM
IDCHLM
IDCHLIM
IDCOLM
IDCOLOD
IDCRID
IDCRIDD
IDCIVM
IDHRVM
IDCYPM
IDCZEM
IDCZELM
IDDNKM
IDDNKRM
IDECUM
IDECUDM
IDEGYM
IDEURDD
IDEURLD
IDEURRD
IDFIND
IDFRARD
IDDEUM
IDDEULM
IDDEURD
IDGHAM
IDGRCD
IDHKGM
Hungary Discount Rate
June 1921
Hungary Repo Rate
January 1996
Iceland
January 1903
Iceland Repo Rate
January 1990
India
December 1873
Indonesia
January 1913
Ireland Repo Rate
June 1979
Israel
March 1982
Italy
January 1881
Jamaica
May 1961
Japan
October 1882
Jordan
January 1966
Kazakhstan
December 1993
Kenya
January 1967
Kuwait
January 1975
Lebanon
April 1963
Lithuania Overnight Lending
Lithuania Liquidity
Malaysia
April 1959
Mauritius
August 1967
Mauritius Lombard Rate December 1999
Mongolia
July 1993
Morocco
January 1969
Namibia
September 1991
Nepal
July 1976
Netherlands
January 1814
New Zealand
January 1923
Nicaragua
May 2001
Nigeria
July 1960
Norway Overnight Loans October 1818
Norway Call Rate
January 1990
Peru
January 1923
Philippines
January 1950
Poland
January 1919
Poland Lombard Rate
January 1995
Portugal
January 1900
Romania
January 1913
Russia
July 1860
Singapore
December 1997
Slovak Republic
January 1993
Slovenia
July 1992
South Africa Lending
January 1913
South Africa Repo
South Korea
July 1950
Spain
January 1900
Sri Lanka
August 1950
Swaziland
July 1976
Sweden Base Rate
November 1856
Sweden Lending Rate
Sweden Repo Rate
May 1974
Switzerland
January 1895
Switzerland Lombard
June 1907
Taiwan
July 1950
Thailand
February 1945
Trinidad & Tobago
August 1966
Tunisia
January 1958
Turkey
January 1933
Ukraine
January 1992
United Kingdom
August 1694
United States
Uruguay
April 1981
4
01/04/199901/04/199906/01/1936-
11/08/199911/08/1999-
07/01/198501/04/1985-
01/02/1997-
01/04/1999-
11/07/199703/13/199801/04/199906/01/199406/01/199406/01/199401/02/198201/04/1994-
10/01/196811/16/1914-
IDHUNM
IDHUNRM
IDISLM
IDISLRM
IDINDM
IDIDNM
IDIRLRD
IDISRM
IDITAD
IDJAMM
IDJPND
IDJORM
IDKAZM
IDKENM
IDKWTM
IDLBNM
IDLTUD
IDLTULD
IDMYSM
IDMUSM
IDMUSLM
IDMNGM
IDMARM
IDNAMM
IDNPLM
IDNLDM
IDNZLD
IDNICM
IDNGAM
IDNORM
IDNORRM
IDPERD
IDPHLM
IDPOLM
IDPOLLM
IDPRTD
IDROMM
IDRUSM
IDSGPM
IDSVKM
IDSVNM
IDZAFLW
IDZAFRW
IDKORM
IDESPD
IDLKAM
IDSWZM
IDSWEM
IDSWELM
IDSWERM
IDCHEM
IDCHELM
IDTWNM
IDTHAD
IDTTOM
IDTUNM
IDTURM
IDUKRM
IDGBRD
IDUSAD
IDURYM
Venezuela
World-IMF
Zambia
Zimbabwe
May 1947
January 1970
January 1965
January 1962
Discontinued Series
Country
Austria GOMEX Repo Rate
Belgium Repo Rate
Finland Repo Rate
Estonia
France
Ireland
Italy Repo Rate
Netherlands Repo Rate
Pakistan
Paraguay
Portugal Repo Rate
Spain Repo Rate
Yugoslavia
Begins
May 1985
January 1991
December 1977
January 1919
February 1800
January 1922
January 1982
June 1985
July 1948
December 1989
May 1991
January 1990
September 1921
IDVENM
IDIMFM
IDZMBM
IDZWEM
Ends
December 2000
December 2000
December 2000
August 1940
December 1991
December 1990
December 2000
December 2000
August 1993
December 1996
December 2000
December 2000
May 1941
File Name
IDAUTRM
IDBELRM
IDFINRM
IDESTM
IDFRAM
IDIRLM
IDITARM
IDNLDRM
IDPAKM
IDPRYM
IDPRTRM
IDESPRM
IDYUGM
DESCRIPTIONS OF INDIVIDUAL DATA FILES
Unless otherwise stated, all data series are monthly. Series for
which data are annual and/or quarterly are so indicated in the file
descriptions. The data are taken from government statistics or Central
Bank publications. Where possible we have gone to the original
government statistical publications for the data; however, in some
cases, international publications of the IMF, OECD, League of Nations or
UN have been used, all of whom rely upon the same government statistical
sources. Principal sources include:
International Monetary Fund, International Financial Statistics, New
York: IMF (1948-) (IMF)
International Statistical Institute, International Abstract of Economic
Statistics, London: International Conference of Economic Services
(1919-1930 (published 1934) and 1931-1936 (published 1938)) (ISI)
League of Nations, Monthly Statistical Bulletin, Geneva: League of
Nations (1920-1946) (LoN)
League of Nations, Statistical Yearbook, Geneva: League of Nations
(1926-1944/45) (LoN)
Organization for Economic Cooperation and Development, Main Economic
Indicators, Paris: OECD (1952-) and OECD, Monthly Financial
Statistics, Paris: OECD (OECD)
Statistisches Reichsamt, Statistisches Jahrbuch fur das Deutsche Reich,
Berlin: Statistisches Reichsamt (1888-1941/2)
United Nations, Monthly Statistical Bulletin, New York: United Nations
(1947-) (UN)
Country: Argentina
Begins: December 1891
Sources: Argentina Statistical Yearbook (1891-1934), League of Nations
(1935-1945), Banco Central de la Republica, Statistical Bulletin
(1946-1982)
Notes: No data are available from November 1982 to 1991.
Country: Australia
Begins: July 1920
Ends: June 1996
Sources: Reserve Bank of Australia, Monthly Statistical Bulletin (1920-)
5
Notes: Data are for general bank overdrafts of the Commonwealth Bank of
New South Wales from July 1920 through 1949. No data are available
from 1957 through June 1969. The Commonwealth Trading Bank is used
after November 1953.
Country: Austria
Dates: July 1860Sources: The Economist (1860-1918), League of Nations (1919-45),
Oesterreicheschen Nationalbank, Mitteilungen des Direktoriums der
Oesterreicheschen Nationalbank, Vienna: Oesterreicheschen
Nationalbank (1946-)
Notes: Data are for the beginning of the month through 1914. No data
are available from March 1938 to March 1945. Also included is the
Lombard rate for Austria starting in April 1945 (IDAUTLM).
Country: Bangladesh
Begins: December 1980
Sources: Bangladesh Bank, Monthly Bulletin (1980-)
Country: Barbados
Begins: January 1977
Sources: Central Bank of Barbados, Economic and Financial Statistics
(1977-)
Country: Belgium
Dates: January 1858Sources: Annuaire Statistique (1858-1878), The Economist (1879-1918),
League of Nations (1919-45), Banque National, Bulletin (1946-)
Notes: Data are for the beginning of the month from 1879 through 1914.
Country: Bolivia
Begins: January 1932
Sources: League of Nations (1932-45), Banco Central de Bolivia, Boletin
Estadistico (1946-)
Country: Botswana
Begins: August 1976
Sources: Bank of Botswana, Statistical Bulletin (1976-)
Country: Brazil
Begins: January 1948
Sources: Central Bank, Bulletin (1948-)
Notes: The discount rate of 132,335% in February 1990 is the highest
discount rate on record. Congratulations.
Country: Bulgaria
Begins: December 1991
Sources: Bulgarian National Bank and web site
Country: Canada
Begins: March 1935
Sources: Bank of Canada, Monthly Review (1946-)
Notes: Beginning in November 1956, Canada set the discount rate each
week at 1/4 of 1 percent above the last preceding average tender rate
for 3-month Treasury Bills.
Country: Central African Republic
Begins: July 1969
Sources: Banque des Etats d’Afrique Centrale, Etudes et Statistiques
6
Notes: The Banque Centrale des Etats de l’Afrique de l’Ouest runs the
monetary policy for Cameroon, Central African Republic, Chad, Congo,
Equatorial Guinea, and Gabon. The Central African Republic’s discount
rate can be used for all of these countries.
Country: Chile
Begins: January 1925
Sources: League of Nations (1925-45), Banco Central de Chile, Boletin
Mensual, Santiago: Banco Central de Chile (1975-)
Notes: The discount rate is used through June 1976. Starting in July
1976, the minimum interest rate for non-readjustable transactions is
used.
Country: Colombia
Begins: July 1923
Sources: League of Nations (1923-45), Banco de la Republica, Monthly
Review (1946-)
Country: Costa Rica
Begins: April 1939
Sources: Central Bank, Statistical Bulletin (1946-)
Country: Cote d’Ivoire
Begins: January 1964
Sources: Banque Centrale des Etats de l’Afrique de l’Ouest, Notes
d’information et Statistiques (1964-)
Country: Croatia
Begins: January 1992
Sources: IMF (1992-)
Country: Cyprus
Begins: May 1969
Sources: Central Bank of Cyprus, Bulletin (1969-)
Country: Czech Republic
Begins: January 1919-January 1948, January 1990Sources: League of Nations (1919-45), UN (1946-48), Czech National Bank,
Monthly Bulletin (1990-)
Notes: Data for Czechoslovakia are used through 1992 and the Czech
Republic beginning in 1993. No data are available from February 1948
until December 1989. The Lombard rate begins in 1993.
Country: Denmark
Begins: January 1890
Sources: Statistiske Department, Statistisk Arbog, Copenhagen:
Statistiske Dept. (1864-1918), League of Nations (1919-45), Danmarks
Bank, Monetary Review (1946-)
Notes: Data are quarterly from 1864 through 1877 and monthly thereafter.
Country: Ecuador
Dates: May 1938
Sources: Banco Central del Ecuador, Bulletin (1938-)
Country: Egypt
Dates: May 1951
Sources: Central Bank of Egypt, Economic Review (1951-)
Country: Estonia
Dates: January 1919 to August 1940
7
Sources: League of Nations, Monthly Bulletin (1919-1940)
Country: European Central Bank
Dates: January 1999Sources: European Central Bank, Monthly Bulletin
Country: Finland
Dates: January 1867Sources: Bank of Finland, Vuosikirja (Year book), and Monthly Bulletin
Helsinki: Finland's Bank (1867-)
Country: France
Dates: February 1800Sources: R.G. Hawtrey, A Century of Bank Rate, London: Longmans Green &
Co., 1938, p. 302 (1800-1918), LoN (1919-45), Banque de France,
Bulletin Trimestriel (1946-)
Country: Germany
Dates: January 1854Sources: Hunt’s Merchants Magazine (1854-1860), The Economist (18671875), Deutsche Bundesbank, Monthly Report (1875-)
Notes: Data are for the beginning of the month from 1867 to October 1873
and refer to Berlin. After that, data are for the end of the month
at the Bundesbank. Discount rates for Hamburg (IWHAMM) for July 1860
through December 1899 and for Frankfurt (IWFRKM) for July 1860
through December 1899 are also available. Also included is the
Lombard rate, which is the discount rate the Bundesbank pays on paper
tendered to it (IDDEUL8M and IDDEUL9M).
Country: Ghana
Begins: March 1960
Source: Bank of Ghana, Quarterly Economic Bulletin (1960-)
Country: Greece
Begins: January 1913
Sources: Bureau of Statistics, Annuaire Statistique, Athens (1913-34),
League of Nations (1935-1945), Bank of Greece, Monthly Statistical
Bulletin (1946-1982)
Country: Hong Kong
Begins: June 1992
Sources: Hong Kong Monetary Authority, Monthly Statistical Bulletin
(1968-)
Country: Hungary
Begins: June 1921
Sources: League of Nations (1921-46), National Bank of Hungary,
Quarterly Review (1985-)
Notes: No data are available from January 1947 to December 1984.
Country: Iceland
Begins: January 1903
Sources: Iceland Statistical Yearbooks (1903-1981), Central Bank of
Iceland, Quarterly Bulletin (1982-)
Country: India
Begins: December 1873
Sources: Reserve Bank of India, Banking and Monetary Statistics of
India, Bombay: Reserve Bank of India, 1954, 1962 (1873-1920), League
of Nations (1920-45), Reserve Bank of India, Monthly Bulletin (1946-)
8
Notes: Data prior to World War II are for Calcutta.
Country: Indonesia
Begins: January 1913
Ends: December 1975
Sources: Statistisches Reichsamt (1913-1930), League of Nations (19301945), Bank Indonesia, Monthly Bulletin (1946-)
Country: Ireland
Dates: January 1933Sources: League of Nations (1933-45), Central Bank, Quarterly Bulletin
(1946-)
Country: Israel
Begins: March 1982
Sources: Central Bureau of Statistics, Monthly Bulletin of Statistics
(1982-)
Country: Italy
Dates: January 1881Sources: Annuario Estadistico Italiano (1881-1918), League of Nations
(1919-45), Banca d’Italia, Bollettino Statistico (1946-)
Country: Jamaica
Begins: May 1961
Sources: Bank of Jamaica, Statistical Digest (1961-)
Country: Japan
Begins: October 1882
Sources: National Bank of Japan, One Hundred Years of Statistics, Tokyo:
National Bank of Japan, 1966 (1882-1960), Bank of Japan, Economic
Statistics Monthly (1961-)
Notes: Pre-war data are for discounts on bills other than commercial
bills. Prior to World War II, the discount rate was quoted in Sen
(i.e. basis points per day). The annual discount rate is calculated
by multiplying the sen by 365.
Country: Jordan
Begins: January 1966
Sources: Central Bank of Jordan, Monthly Statistical Bulletin (1966-)
Country: Kenya
Begins: January 1967
Sources: Central Bank of Kenya, Economic and Financial Review (1967-)
Country: Kuwait
Begins: January 1975
Sources: Central Bank of Kuwait, Quarterly Statistical Bulletin (1975-)
Country: Latvia
Begins: July 1993
Sources: Bank of Latvia, Monetary Bulletin and web site (1993-)
Country: Lebanon (IDLBNM)
Begins: April 1964
Sources: Bank of Lebanon, Quarterly Bulletin (1964-)
Country: Malaysia
Begins: April 1959
Sources: Bank Negara, Monthly Statistical Supplement (1959-)
9
Notes: No data are available from November 1992 until May 1993
Country: Mauritius
Begins: August 1967
Sources: Bank of Mauritius, Quarterly Review (1967-)
Country: Mongolia
Begins: July 1993
Sources: Central Bank of Mongolia
Country: Morocco
Begins: January 1969
Ends: December 1989
Sources: Bank Al-Maghrib, Studies and Statistics (1969-1989)
Country: Namibia
Begins: September 1991
Sources: Bank of Namibia, Quarterly Bulletin (1991-)
Notes: The Bank of Namibia Overdraft Rate is used.
Country: Netherlands
Dates: January 1814Sources: William Sumner (ed.), A History of Banking, NY: Journal of
Commerce, 1896, Vol. IV, pp. 241, 309, (1814-1894) The Economist
(1894-1918), League of Nations (1919-45), Netherlands Bank, Quarterly
Bulletin and Central Bureau of Statistics, Maandschrift (1946-)
Country: New Zealand
Begins: January 1923
Sources: League of Nations (1923-45), Reserve Bank of New Zealand,
Bulletin (1946-)
Country: Nigeria
Begins: July 1960
Sources: Federal Office of Statistics, Digest of Statistics, and Central
Bank of Nigeria, Monthly Report (1960-)
Notes: Data are quarterly for 1960 to 1962.
Country: Norway
Begins: October 1818
Sources: National Bank of Norway, Annual Report (1818-1919), League of
Nations (1920-45), Norges Bank, Economic Bulletin (1946-)
Country: Pakistan
Begins: July 1948
Ends: August 1993
Sources: State Bank, Bulletin (1948-1993)
Country: Peru
Begins: January 1923
Sources: League of Nations (1923-1945), Banco Central de Reserva del
Peru, Bulletin (1946-1982)
Country: Philippines
Begins: January 1950
Sources: Bangka Sentral Ng Pilipinas, Statistical Bulletin (1950-)
Notes: The discount rate charged to exporters from 1980 until May 1994
is available in IDPHLXM. This rate is used from 1980 until 1989, and
the Central Bank’s discount rate is used beginning again in 1990.
10
Country: Poland
Begins: January 1919
Sources: League of Nations (1919-1939), National Bank, Information
Bulletin (1983-)
Notes: No data are available from October 1939 through 1982. The
Refinancing rate is used for the discount rate.
Country: Portugal
Dates: January 1900Sources: Statistisches Reichsamt (1900-14), League of Nations (1915-45),
Bank of Portugal, Quarterly Bulletin (1946-)
Country: Romania
Begins: January 1994
Sources: IMF (1994-)
Country: Russia
Begins: July 1860
Ends: July 1937
Sources: The Economist (1867-1918, 1993-), League of Nations (1923-1937)
Note: Data are for the beginning of the month in St. Petersburg. No data
are available from 1919 through 1922. No data are available from
August 1937 to November 1993. The central bank refinancing rate is
currently used.
Country: Singapore
Begins: December 1997
Sources: Monetary Authority of Singapore, Monthly Bulletin (1997-)
Notes: The Monetary Authority of Singapore’s Rediscount Rate is used.
Country: Slovakia
Begins: January 1993
Sources: IMF (1993-)
Notes: For data prior to 1993, see the Czech Republic (IDCSKM).
Country: Slovenia
Begins: July 1992
Sources: IMF (1992-)
Notes: Data for Yugoslavia from September 1921 through May 1941 are
available in IDYUGM.
Country: South Africa
Begins: January 1913
Sources: Statistisches Reichsamt (1900-19), League of Nations (1920-45),
Reserve Bank of South Africa, Quarterly Bulletin (1946-)
Country: South Korea
Begins: July 1950
Sources: Bank of Korea, Monthly Statistical Bulletin (1950-)
Country: Spain
Dates: January 1900Sources: Statistisches Reichsamt (1900-15) League of Nations (1916-45),
Banco de Espana, Boletin Estadistica (1946-)
Country: Sri Lanka
Begins: August 1950
Sources: Central Bank of Ceylon/Sri Lanka, Bulletin (1950-)
Country: Swaziland
11
Begins: July 1976
Sources: Central Bank of Swaziland, Quarterly Review (1976-)
Country: Sweden
Begins: November 1856
Sources: Sveriges Riksbank, Arsbok and Quarterly Review, Stockholm
(1856-)
Country: Switzerland
Begins: January 1895
Sources: Statistischen Bureau, Statistisches Jahrbuch der Schweiz, Bern:
Verlag des Ar. Institut Orell Fussli (1895-1919), League of Nations
(1920-1945), Schweizerisches Nationalbank, Monatsbericht, Zurich
(1946-)
Country: Taiwan
Begins: July 1950
Sources: IMF (1950-72), Republic of China, Financial Statistics Monthly,
Taiwan: Republic of China (1973-)
Country: Thailand
Begins: February 1945
Sources: Bank of Thailand, Monthly Bulletin (1945-)
Country: Trinidad and Tobago
Begins: August 1966
Sources: Central Bank, Statistical Digest (1966-)
Country: Tunisia
Begins: January 1958
Ends: November 1989
Sources: Central Bank of Tunisia, Financial Statistics (1958-89)
Country: Turkey
Begins: April 1986
Sources: League of Nations (1935-1945), IMF (1946-92), Turkiye
Cumhuriyet Merkez Bankasi (Central Bank of Turkey), Quarterly
Bulletin (1992-)
Country: Ukraine
Begins: January 1992
Sources: IMF (1992-)
Country: United Kingdom
Dates: August 1694-August 1981
Sources: John Clapham, The Bank of England, New York: MacMillan, 1945
(1694-1800), Mitchell, British Historical Statistics, London:
Cambridge (1800-1980), Bank of England, Quarterly Bulletin (1981-)
Notes: For the 1700s, the discount rate on foreign bills was used. The
bank rate is used from 1800 to 1972. On August 20, 1981, the Bank of
England stopped discounted bills. The Bank Rate is used up to 1972,
the Minimum Lending Rate from 1972 to 1981, the Bank’s base Rate from
1981 to 1997, and the Bank of England Operational interest rate from
1997 on.
Country: United States
Begins: November 1914
Sources: Board of Governors of the Federal Reserve System, Federal
Reserve Bulletin (1914-)
12
Notes: The Discount Rate for the Federal Reserve Bank of New York City
is used. The index is weekly until 1953 and daily thereafter.
Country: Uruguay
Begins: April 1981
Sources: Central Bank of Uruguay, Statistical Bulletin (1981-)
Country: Venezuela
Begins: May 1947
Sources: Central Bank, Monthly Bulletin (1947-1982)
Country: World
Begins: May 1947
Sources: International Monetary Fund, International Financial Statistics
(1970-1982)
Notes: The SDR interest rate is determined weekly and is based on a
weighted average of interest rates on specific short-term domestic
obligations in the money markets of the countries whose currencies
constitute the SDR valuation basket. At present, the rates and
instruments are the yields on three-month Treasury bills for the
United States, the United Kingdom, and France, the three-month
interbank deposit rate for Germany, and the three-month certificate
of deposit rate for Japan. In keeping with the shift to a currencybased system of SDR valuation, effective January 1, 2001, the
representative rate for the euro area is now the three-month Euribor
(Euro Interbank Offered Rate), which replaced the current national
financial instruments of France and Germany. The representative
interest rate for the Japanese yen has changed from the current
three-month rate on certificates of deposit to the yield on Japanese
Government thirteen-week financing bills. The interest rate on the
three-month United States and United Kingdom Treasury bills continues
to serve as the representative interest rates for the U.S. dollar and
pound sterling, respectively.
Country: Zambia
Begins: January 1965
Sources: Bank of Zambia, Quarterly Statistical Review (1965-)
Country: Zimbabwe/Rhodesia
Begins: January 1962
Sources: Reserve Bank of Zimbabwe, Quarterly Economic and Statistical
Review (1962-)
13
INTERBANK AND EUROCURRENCY RATES
Interbank and Eurocurrency rates have now replaced private discount
rates and money market rates as the primary indicator of short-term
interest rates for each country. Interbank rates are the rates that one
bank pays another bank for deposits. The Interbank Offer Rate is the
rate banks are offering for deposits, and The Interbank Bid Rate is the
bid rate for interbank deposits.
Interbank rates can either be domestic or international. Domestic
rates are referred to using the city in which the deposits take place as
a prefix. German deposits are made in Frankfurt, so German Domestic
rates are quoted as FIBOR (Frankfurt Interbank Offer Rate) or FIBID
(Frankfurt Interbank Bid Rate). Similar terms are used for Paris
(PIBOR), Singapore (SIBOR), etc.
International interbank rates made outside of the country where the
currency is used are referred to as Eurocurrency deposits. Eurocurrency
deposits in London are referred to as LIBOR (London Interbank Offer
Rate) deposits and is the rate of interest at which banks borrow funds
from other banks, in marketable size, in the London interbank market.
LIBOR rates were introduced for the US Dollar in 1957, and in the 1960s
and 1970s, LIBOR Eurocurrency rates were also introduced for the British
Pound, German Mark, Swiss Franc, Japanese Yen and other currencies.
Interbank rates now provide a full range of short-term wholesale
interest rates for each country.
With the introduction of the Euro in 1999, domestic Interbank Offer
Rates ceased to exist for the member of the Euro. The EURIBOR rates
replaced domestic Interbank Offer Rates (FIBOR, PIBOR, etc.) ECU-linked
deposit rates have been used to provide some history to the EURIBOR
rates before 1999, as well as for the other eleven EMU currencies, and
Greece beginning in 2001. EURIBOR, the complementary fixing which has
been established by the European Banking Federation and ACI to benchmark
in-zone rates, applies a concept of country quota. Each in-country has
at least one bank represented on the Panel and smaller countries will
rotate membership of the Panel amongst their leading commercial banks
every 6 months. EURIBOR has a panel of 47 reference banks from in zone
countries, 4 pre-in banks (HSBC and Barclays are the UK representatives)
as well as up to 6 international banks.
Questions concerning which rates are used for which country are
provide in the explanations below. Eurodollar Data are the bid side of
the Eurodollar quote in London. It is collected between 7am and 9am
Eastern Time (late London morning time). It is not LIBOR.
Country
Argentina
Argentina
Argentina
Argentina
Argentina
Argentina
Argentina
Argentina
Australia
Australia
Australia
Australia
Australia
Australia
Australia
Australia
Monthly
Daily
04/21/199704/21/199704/21/199704/21/199704/21/199704/21/199704/21/199704/21/199703/20/198603/27/198601/02/198701/03/198901/03/198903/20/198601/03/1989
01/03/1989-
14
Interbank Rate
BAIBOR 1 month
BAIBOR 3 months
BAIBOR 6 months
BAIBOR 12 months
BAIBOR USD 1 Mo.
BAIBOR USD 3 Mo.
BAIBOR USD 6 Mo.
BAIBOR USD 12 Mo.
LIBOR 1 month
LIBOR 2 months
LIBOR 3 months
LIBOR 4 months
LIBOR 5 months
LIBOR 6 months
LIBOR 7 months
LIBOR 8 months
File Name
IBARG1D
IBARG3D
IBARG6D
IBARG12D
IBARGD1D
IBARGD3D
IBARGD6D
IBARGDYD
IBAUS1D
IBAUS2D
IBAUS3D
IBAUS4D
IBAUS5D
IBAUS6D
IBAUS7D
IBAUS8D
Australia
Australia
Australia
Australia
Austria
Austria
Austria
Austria
Bahrain
Belgium
Belgium
Belgium
Belgium
Belgium
Bulgaria
Canada
Canada
Canada
Canada
Canada
Canada
Canada
Canada
Canada
Canada
Canada
Canada
China
Colombia
Cyprus
Czech Republic
Czech Republic
Czech Republic
Czech Republic
Czech Republic
Czech Republic
Czech Republic
Denmark
Denmark
Denmark
Denmark
Denmark
Denmark
Denmark
Denmark
Dominican Repub
Ecuador
Egypt
El Salvador
Estonia
Estonia
Estonia
Estonia
Estonia
Estonia
Europe
Europe
Europe
Europe
Europe
Europe
07/198901/199007/198907/198907/198501/1978-
01/03/198901/03/198901/03/198903/21/198606/10/199106/10/199106/10/199106/10/199110/16/198910/17/1989
10/16/198910/16/198910/17/1989-
01/199405/01/199005/01/199005/01/199005/01/199005/01/199005/01/199005/01/199005/01/199005/01/199005/01/199005/01/199005/01/199007/199601/198901/199704/199204/199204/199204/199201/198901/197201/198901/198906/198801/200001/1996-
11/04/199611/04/199611/04/199611/04/199611/04/199611/04/199611/04/199601/02/198006/01/199201/02/198006/01/199206/01/199206/01/199210/16/199510/16/199501/05/200101/04/2001-
01/199801/29/199702/10/199901/29/199709/02/199802/10/199902/10/199901/04/199911/03/198201/03/198911/03/198201/03/198901/03/1989-
15
LIBOR 9 months
LIBOR 10 months
LIBOR 11 months
LIBOR 12 months
VIBOR 1 month
VIBOR 3 months
VIBOR 6 months
VIBOR 12 months
Interbank Rate
BIBOR 1 month
BIBOR 2 months
BIBOR 3 months
BIBOR 6 months
BIBOR 12 months
Interbank Rate
LIBOR 1 month
LIBOR 2 months
LIBOR 3 months
LIBOR 4 months
LIBOR 5 months
LIBOR 6 months
LIBOR 7 months
LIBOR 8 months
LIBOR 9 months
LIBOR 10 months
LIBOR 11 months
LIBOR 12 months
CHIBOR
TBS Interbank
Average IB Rate
PRIBOR 2 weeks
PRIBOR 1 month
PRIBOR 2 months
PRIBOR 3 months
PRIBOR 6 months
PRIBOR 9 months
PRIBOR 12 months
CIBOR 1 month
CIBOR 2 months
CIBOR 3 months
CIBOR 4 months
CIBOR 5 months
CIBOR 6 months
CIBOR 9 months
CIBOR 12 months
Interbank Rate
Interbank
Over 1 month
Interbank Rate
TALIBOR 1 month
TALIBOR 2 months
TALIBOR 3 months
TALIBOR 6 months
TALIBOR 9 months
TALIBOR 12 months
EURIBOR 1 week
EURIBOR 1 month
EURIBOR 2 months
EURIBOR 3 months
EURIBOR 4 months
EURIBOR 5 months
IBAUS9D
IBAUS10D
IBAUS11D
IBAUS12D
IBAUT1D
IBAUT3D
IBAUT6D
IBAUT12D
IBBHRM
IBBEL1D
IBBEL2D
IBBEL3D
IBBEL6D
IBBEL12D
IBBGRM
IBEUR1D
IBEUR2D
IBEUR3D
IBEUR4D
IBEUR5D
IBEUR6D
IBEUR7D
IBEUR8D
IBEUR9D
IBEUR10D
IBEUR11D
IBEUR12D
IBCHNM
IBCOLM
IBCYPM
IBCZE2WD
IBCZE1D
IBCZE2D
IBCZE3D
IBCZE6D
IBCZE9D
IBCZE12D
IBDNK1D
IBDNK2D
IBDNK3D
IBDNK4D
IBDNK5D
IBDNK6D
IBDNK9D
IBDNK12D
IBDOMW
IBECUM
IBEGYW
IBSLVM
IBEST1D
IBEST2D
IBEST3D
IBEST6D
IBEST9D
IBEST12D
IBEUR1WD
IBEUR1D
IBEUR2D
IBEUR3D
IBEUR4D
IBEUR5D
Europe
Europe
Europe
Europe
Europe
Europe
Europe
Finland
Finland
Finland
Finland
Finland
Finland
France
France
France
France
France
France
France
France
France
France
France
France
Germany
Germany
Germany
Germany
Germany
Germany
Germany
Germany
Germany
Germany
Germany
Germany
Greece
Greece
Greece
Greece
Guatemala
Hong Kong
Hong Kong
Hong Kong
Hong Kong
Hong Kong
Hong Kong
Hong Kong
Hong Kong
Hong Kong
Hong Kong
Hong Kong
Hong Kong
Hong Kong
Hungary
Hungary
Hungary
Iceland
Iceland
Iceland
12/1977
01/1984
01/1969-
12/1959-
01/198501/199001/199001/1997-
01/1969-
03/1986
01/199206/1998
11/1986
11/1998
11/03/198201/03/198901/03/198901/03/198901/03/198901/03/198911/03/198201/02/198712/09/199601/02/198701/02/198712/12/199601/02/198701/02/197501/03/198912/30/198801/03/198901/03/198901/02/197501/03/1989
01/03/198901/03/198901/03/198901/03/198901/02/197501/02/197001/02/198701/02/197001/02/198701/02/198704/01/198101/02/198701/02/198701/02/198701/02/198701/02/198704/01/198101/25/199401/25/199401/25/199401/25/1994-
EURIBOR 6 months
EURIBOR 7 months
EURIBOR 8 months
EURIBOR 9 months
EURIBOR 10 months
EURIBOR 11 months
EURIBOR 12 months
HELIBOR 1 month
HELIBOR 2 months
HELIBOR 3 months
HELIBOR 6 months
HELIBOR 9 months
HELIBOR 12 months
EUR/PIBOR 1 month
EUR/PIBOR 2 month
EUR/PIBOR 3 month
EUR/PIBOR 4 month
EUR/PIBOR 5 month
EUR/PIBOR 6 month
EUR/PIBOR 7 month
EUR/PIBOR 8 month
EUR/PIBOR 9 month
PIBOR 10 months
PIBOR 11 months
PIBOR 12 months
EUR/FIBOR 1 month
EUR/FIBOR 2 month
EUR/FIBOR 3 month
EUR/FIBOR 4 month
EUR/FIBOR 5 month
EUR/FIBOR 6 month
EUR/FIBOR 7 month
EUR/FIBOR 8 month
EUR/FIBOR 9 month
EUR/FIBOR 10 mon.
EUR/FIBOR 11 mon.
EUR/FIBOR 12 mon.
ATHIBOR 1 month
ATHIBOR 3 months
ATHIBOR 6 months
ATHIBOR 12 months
Interbank Rate
HIBOR 1 week
HIBOR 1 month
HIBOR 2 months
HIBOR 3 months
HIBOR 4 months
HIBOR 5 months
HIBOR 6 months
HIBOR 7 months
HIBOR 8 months
HIBOR 9 months
HIBOR 10 months
HIBOR 11 months
HIBOR 12 months
BUPOR 1 month
BUPOR 3 months
03/22/1982
01/04/198202/13/199701/04/198202/13/199702/13/199701/04/198202/13/199702/13/199701/02/199202/13/199702/13/199701/02/199109/04/199509/07/199509/08/199508/03/1999- REIBOR 1 month
08/03/1999- REIBOR 3 months
08/03/1999- REIBOR 6 months
16
IBEUR6D
IBEUR7D
IBEUR8D
IBEUR9D
IBEUR10D
IBEUR11D
IBEUR12D
IBFIN1D
IBFIN2D
IBFIN3D
IBFIN6D
IBFIN9D
IBFIN12D
IBFRA1D
IBFRA2D
IBFRA3D
IBFRA4D
IBFRA5D
IBFRA6D
IBFRA7D
IBFRA8D
IBFRA9D
IBFRA10D
IBFRA11D
IBFRA12D
IBDEU1D
IBDEU2D
IBDEU3D
IBDEU4D
IBDEU5D
IBDEU6D
IBDEU7D
IBDEU8D
IBDEU9D
IBDEU10D
IBDEU11D
IBDEU12D
IBGRC1D
IBGRC3D
IBGRC6D
IBGRC12D
IBGTMM
IBHKG1WD
IBHKG1D
IBHKG2D
IBHKG3D
IBHKG4D
IBHKG5D
IBHKG6D
IBHKG7D
IBHKG8D
IBHKG9D
IBHKG10D
IBHKG11D
IBHKG12D
IBHUN1M
IBHUN3M
IBISL1D
IBISL3D
IBISL6D
Iceland
India
India
India
India
Indonesia
Indonesia
Indonesia
Indonesia
Indonesia
Ireland
Ireland
Ireland
Ireland
Italy
01/199906/199801/199908/199901/199012/199301/199101/197101/197812/198511/199302/1990-
Italy
Italy
01/197102/1990-
Italy
Italy
Italy
02/1990Italy
Italy
Italy
Italy
Italy
Italy
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
South Korea
Kuwait
Latvia
Latvia
Latvia
Lebanon
Lithuania
Lithuania
Lithuania
Lithuania
Luxembourg
Malaysia
Malaysia
Malaysia
Malaysia
Malaysia
Malaysia
Mauritius
Mexico
02/199011/197805/197909/197809/1978-
12/199001/1979
01/1982
12/1993
01/1990
08/198208/198208/198208/198208/198208/1967-
02/01/2000- REIBOR 12 months
MIBOR 1 month
MIBOR 3 months
MIBOR 6 months
MIBOR 12 months
06/01/1998- SBI 1 month
06/01/1998- SBI 3 months
06/01/1998- SBI 6 months
06/01/1998- SBI 12 months
06/01/1998- SBI 24 months
01/04/1999- IB 1 month
01/04/1999- IB 3 months
01/04/1999- IB 6 months
01/04/1999- IB 12 months
06/09/197805/17/1990- RIBOR 1 month
05/17/1990- RIBOR 2 months
12/30/198306/09/1978- RIBOR 3 months
05/17/1990- RIBOR 4 months
05/17/1990- RIBOR 5 months
06/09/197805/17/1990- RIBOR 6 months
05/17/1990- RIBOR 7 months
05/17/1990- RIBOR 8 months
05/17/1990- RIBOR 9 months
05/17/1990- RIBOR 10 months
05/17/1990- RIBOR 11 months
06/09/197805/17/1990- RIBOR 12 months
01/02/1986- LIBOR 1 month
01/02/1986- LIBOR 2 months
01/02/1986- LIBOR 3 months
01/03/1989- LIBOR 4 months
01/03/1989- LIBOR 5 months
01/02/1986- LIBOR 6 months
01/03/1989- LIBOR 7 months
01/03/1989- LIBOR 8 months
01/03/1989- LIBOR 9 months
01/03/1989- LIBOR 10 months
01/03/1989- LIBOR 11 months
06/01/1988- LIBOR 12 months
3-month Interbank
Interbank Rate
01/20/1998- RIGBOR 1 month
01/20/1998- RIGBOR 3 months
01/20/1998- RIGBOR 6 months
Interbank Rate
01/04/1999- 1-month VILIBOR
01/04/1999- 3-month VILIBOR
03/30/2000- 6-month VILIBOR
03/30/2000- 12-month VILIBOR
Interbank Rate
08/10/1993- KLIBOR 1 month
08/10/1993- KLIBOR 2 months
01/03/1988- KLIBOR 3 months
08/10/1993- KLIBOR 6 months
08/10/1993- KLIBOR 9 months
08/10/1993- KLIBOR 12 months
Interbank Rate
03/31/1995- TIIP
17
IBISL12D
IBIND1M
IBIND3M
IBIND6M
IBIND12M
IBIDN1W
IBIDN3D
IBIDN6D
IBIDN12W
IBIDN24W
IBIRL1D
IBIRL3D
IBIRL6D
IBIRL12D
IBITA1D
IBITA2D
IBITA3D
IBITA4D
IBITA5D
IBITA6D
IBITA7D
IBITA8D
IBITA9D
IBITA10D
IBITA11D
IBITA12D
IBJPN1D
IBJPN2D
IBJPN3D
IBJPN4D
IBJPN5D
IBJPN6D
IBJPN7D
IBJPN8D
IBJPN9D
IBJPN10D
IBJPN11D
IBJPN12D
IBKOR3M
IBKWTM
IBLVA1M
IBLVA3M
IBLVA6M
IBLBNM
IBLTU1D
IBLTU3D
IBLTU6D
IBLTU12D
IBLUXM
IBMYS1D
IBMYS2D
IBMYS3D
IBMYS6D
IBMYS9D
IBMYS12D
IBMUSM
IBMEXW
Mexico
Mexico
Morocco
Netherlands
Netherlands
Netherlands
Netherlands
Netherlands
Netherlands
Netherlands
Netherlands
Netherlands
Netherlands
Netherlands
Netherlands
New Zealand
New Zealand
New Zealand
Nicaragua
Norway
Norway
Norway
Norway
Norway
Norway
Norway
Norway
Norway
Norway
Pakistan
Peru
Philippines
Philippines
Philippines
Philippines
Philippines
Philippines
Philippines
Poland
Poland
Poland
Poland
Portugal
Portugal
Portugal
Portugal
Portugal
Portugal
Portugal
Portugal
Portugal
Portugal
Portugal
Portugal
Romania
Russia
Russia
Singapore
Singapore
Singapore
Singapore
05/197701/199409/1972-
12/197312/199601/197908/1978-
05/1985
09/1995-
12/1995
12/1990
11/199502/199301/198312/1992-
12/199212/199701/1995
01/1999
08/1973
04/03/1995- 28-Day IB (TIIE)
07/17/2001 Mexibor 3 months
Interbank Rate
01/02/1975- AIBOR 1 month
09/02/1991- AIBOR 2 months
01/02/1990- AIBOR 3 months
09/02/1991- AIBOR 4 months
09/02/1991- AIBOR 5 months
01/02/1975- AIBOR 6 months
09/02/1991- AIBOR 7 months
09/02/1991- AIBOR 8 months
09/02/1991- AIBOR 9 months
09/02/1991- AIBOR 10 months
09/02/1991- AIBOR 11 months
01/02/1975- AIBOR 12 months
01/04/1985- Bills 1 month
01/04/1985- Bills 3 months
01/04/1985- Bills 3 months
Interbank Rate
01/02/1986- OIBOR 1 week
11/02/1987- OIBOR 2 weeks
01/02/1986- OIBOR 1 month
11/02/1987- OIBOR 2 months
01/02/1986- OIBOR 3 months
02/14/1995- OIBOR 4 months
02/10/1995- OIBOR 5 months
01/02/1986- OIBOR 6 months
10/09/1991- OIBOR 9 months
01/02/1986- OIBOR 12 months
IBMEX1W
IBMEX3D
IBMARM
IBNLD1D
IBNLD2D
IBNLD3D
IBNLD4D
IBNLD5D
IBNLD6D
IBNLD7D
IBNLD8D
IBNLD9D
IBNLD10D
IBNLD11D
IBNLD12D
IBNZL1D
IBNZL2D
IBNZL3D
IBNICM
IBNOR1WD
IBNOR2WD
IBNOR1D
IBNOR2D
IBNOR3D
IBNOR4D
IBNOR5D
IBNOR6D
IBNOR9D
IBNOR12D
01/02/199711/11/199611/11/199611/11/199611/11/199611/11/199611/11/199611/11/199606/04/199306/04/199306/16/1995-
IBPERD
IBPHL1WD
IBPHL2WD
IBPHL1D
IBPHL2D
IBPHL3D
IBPHL6D
IBPHL12D
IBPOL1D
IBPOL3D
IBPOL6D
IBPOL12M
IBPRT1D
IBPRT2D
IBPRT3D
IBPRT4D
IBPRT5D
IBPRT6D
IBPRT7D
IBPRT8D
IBPRT9D
IBPRT10D
IBPRT11D
IBPRT12D
IBROMM
IBRUS1M
IBRUS3M
IBSGP1D
IBSGP2D
IBSGP3D
IBSGP6D
09/01/199409/01/199409/01/199409/01/199409/01/199409/01/199409/01/199409/01/199409/01/199409/01/199409/01/199409/01/1994-
04/01/198604/01/198604/01/198604/07/1986-
18
IB Offer Rate
PHIBOR 1 week
PHIBOR 2 weeks
PHIBOR 1 month
PHIBOR 2 months
PHIBOR 3 months
PHIBOR 6 months
PHIBOR 12 months
WIBOR 1 month
WIBOR 3 months
WIBOR 6 months
WIBOR 12 months
LISBOR 1 month
LISBOR 2 months
LISBOR 3 months
LISBOR 4 months
LISBOR 5 months
LISBOR 6 months
LISBOR 7 months
LISBOR 8 months
LISBOR 9 months
LISBOR 10 months
LISBOR 11 months
LISBOR 12 months
BUBOR 1-month
MIBOR 1 month
MIBOR 3 months
SIBOR 1 month
SIBOR 2 months
SIBOR 3 months
SIBOR 6 months
Singapore
Singapore
Slovak Republic
Slovak Republic
Slovak Republic
Slovak Republic
Slovak Republic
Slovenia
Spain
Spain
Spain
Spain
Spain
Spain
Spain
Spain
Spain
Spain
Spain
Spain
Spain
Spain
Sri Lanka
Swaziland
Sweden
Sweden
Sweden
Sweden
Switzerland
Switzerland
Switzerland
Switzerland
Switzerland
Switzerland
Switzerland
Switzerland
Switzerland
Switzerland
Switzerland
Switzerland
Taiwan
Thailand
Thailand
Thailand
Thailand
Trinidad & Tobago
Turkey
United Kingdom
United Kingdom
United Kingdom
United Kingdom
United Kingdom
United Kingdom
United Kingdom
United Kingdom
United Kingdom
United Kingdom
United Kingdom
United Kingdom
United States
United States
05/02/199601/02/198704/27/199304/27/199307/05/199506/23/199408/09/199411/1992
06/1973
01/03/199702/18/199805/17/199005/17/199005/17/199005/17/199005/17/199005/17/199005/17/199005/17/199005/17/199005/17/199005/17/199005/17/1990-
06/1999
01/1989
04/1980-
05/1973-
12/31/199212/31/199212/31/199212/31/199201/02/197501/03/198907/03/197801/03/198901/03/198901/02/197501/03/198901/03/198901/03/198901/03/198901/03/198901/02/1975-
01/198201/197803/199404/1986
01/1975
06/1964
01/1951
01/1960
01/04/199401/04/199401/02/199701/02/199711/30/200101/02/197501/02/198707/03/197801/02/198701/02/198701/02/197501/02/198701/02/198701/02/198701/02/198701/02/1987
01/02/197507/01/195401/04/1971-
19
SIBOR 9 months
SIBOR 12 months
BRIBOR 2 weeks
BRIBOR 1 month
BRIBOR 2 months
BRIBOR 3 months
BRIBOR 6 months
Interbank Rate
MIBOR 1 week
MIBOR 2 weeks
MIBOR 1 month
MIBOR 2 months
MIBOR 3 months
MIBOR 4 months
MIBOR 5 months
MIBOR 6 months
MIBOR 7 months
MIBOR 8 months
MIBOR 9 months
MIBOR 10 months
MIBOR 11 months
MIBOR 12 months
SLIBOR 1 month
Interbank Call
STIBOR 1 month
STIBOR 3 months
STIBOR 6 months
STIBOR 12 months
LIBOR 1 month
LIBOR 2 months
LIBOR 3 months
LIBOR 4 months
LIBOR 5 months
LIBOR 6 months
LIBOR 7 months
LIBOR 8 months
LIBOR 9 months
LIBOR 10 months
LIBOR 11 months
LIBOR 12 months
IB Call Rate
Bangkok 1 month
Bangkok 3 months
Bangkok 6 months
Bangkok 12 months
Average Interbank
Interbank Rate
LIBOR 1 month
LIBOR 2 months
LIBOR 3 months
LIBOR 4 months
LIBOR 5 months
LIBOR 6 months
LIBOR 7 months
LIBOR 8 months
LIBOR 9 months
LIBOR 10 months
LIBOR 11 months
LIBOR 12 months
Fed Funds Rate
LIBOR 1 month
IBSGP9D
IBSGP12D
IBSVK2WD
IBSVK1D
IBSVK2D
IBSVK3D
IBSVK6D
IBSVNM
IBESP1WD
IBESP2WD
IBESP1D
IBESP2D
IBESP3D
IBESP4D
IBESP5D
IBESP6D
IBESP7D
IBESP8D
IBESP9D
IBESP10D
IBESP11D
IBESP12D
IBLKAM
IBSWZM
IBSWE1D
IBSWE3D
IBSWE6D
IBSWE12D
IBCHE1D
IBCHE2D
IBCHE3D
IBCHE4D
IBCHE5D
IBCHE6D
IBCHE7D
IBCHE8D
IBCHE9D
IBCHE10D
IBCHE11D
IBCHE12D
IBTWNM
IBTHA1M
IBTHA3M
IBTHA6M
IBTHA12M
IBTTOD
IBTURM
IBGBR1D
IBGBR2D
IBGBR3D
IBGBR4D
IBGBR5D
IBGBR6D
IBGBR7D
IBGBR8D
IBGBR9D
IBGBR10D
IBGBR11D
IBGBR12D
IBUSAFFD
IBUSA1D
United States
United States
United States
United States
United States
United States
United States
United States
United States
United States
United States
World
Zambia
Zimbabwe
01/1963
01/1963
01/02/198701/04/197101/02/198701/02/198701/04/197101/02/198701/02/198701/02/198701/02/198701/02/198701/02/1975-
01/198412/1997
01/1980
LIBOR 2 months
LIBOR 3 months
LIBOR 4 months
LIBOR 5 months
LIBOR 6 months
LIBOR 7 months
LIBOR 8 months
LIBOR 9 months
LIBOR 10 months
LIBOR 11 months
LIBOR 12 months
OECD 3-month IB
Interbank Rate
IB 3-month Loans
IBUSA2D
IBUSA3D
IBUSA4D
IBUSA5D
IBUSA6D
IBUSA7D
IBUSA8D
IBUSA9D
IBUSA10D
IBUSA11D
IBUSA12D
IBOECD3M
IBZMBM
IBZWEM
DESCRIPTIONS OF INDIVIDUAL DATA FILES
Country: Argentina
Begins: December 1997
Sources: Banco Central de la Republica, Statistical Bulletin and Web
site
Notes: Data are monthly for 1998 and daily beginning in 1999.
Country: Australia
Begins: January 1989
Sources: British Bankers’ Association (www.bba.org.uk)
Notes: The British Bankers’ Association daily fixing for LIBOR rates in
Australian Dollars is used. The rates are fixed on a spot basis on
each London Business Day.
Country: Austria
Begins: July 1989
Sources: Oesterreicheschen Nationalbank, Mitteilungen des Direktoriums
der Oesterreicheschen Nationalbank, Vienna: Oesterreicheschen
Nationalbank and web site
Notes: Data are monthly from 1989 to 1998. Beginning on January 4,
1999, EURIBOR rates are used.
Country: Bahrain
Begins: July 1985
Sources: Bahrain Monetary Agency, Quarterly Statistical Bulletin and web
site
Notes: Data are monthly.
Country: Belgium
Begins: January 1978
Sources: Banque National de Belgique, Bulletin and web site
Notes: Data from 1978 to 1998 are BIBOR rates as recorded by the
National Bank of Belgium. Beginning on January 4, 1999, EURIBOR
rates are used.
Country: Bulgaria
Begins: January 1994
Sources: Bulgarian National Bank and web site
Notes: Data represent the interbank rate for deposits of 1 month or
more.
Country: Canada
Begins: May 1990
Sources: British Bankers’ Association (www.bba.org.uk)
20
Notes: The British Bankers’ Association daily fixing for LIBOR rates in
Canadian Dollars is used. The rates are fixed on a spot basis on each
London Business Day.
Country: China
Begins: July 1996
Sources: The Economist
Notes: The China Interbank Offer Rate on 3-month deposits is used.
Country: Colombia
Begins: January 1989
Sources: Banco de la Republica, Monthly Review and web site
Notes: The monthly rate on TBS Interbank 3-month deposits is used.
Country: Cyprus
Begins: January 1997
Sources: Central Bank of Cyprus, Bulletin and web site
Notes: Data are a weighted average of interbank rates.
Country: Czech Republic
Begins: January 1989
Sources: Czech National Bank, Monthly Bulletin and web site
Notes: PRIBOR (Prague Interbank Offer Rate) is used. Data are monthly to
1996 and daily thereafter.
Country: Denmark
Begins: January 1972
Sources: Danmarks Bank, Monetary Review and web site; Banque National de
Belgique, Bulletin and web site
Notes: CIBOR (Copenhagen Interbank offer Rate) is used. Rates are
monthly to 1979 for one- and three-month rates, and daily thereafter.
Other maturities are monthly to 1996 and daily thereafter.
Country: Dominican Republic
Begins: January 2000
Sources: Banco Central de la Republica Dominica, Monthly Bulletin and
web site
Notes: Data are a weighted average of interbank rates. Data are monthly
for 2000 and weekly beginning in 2001.
Country: Ecuador
Begins: January 1996
Sources: Banco Central del Ecuador, Bulletin and web site
Notes: Data are a weighted average of interbank rates for Ecuador.
Country: Egypt
Begins: January 2001
Sources: Central Bank of Egypt, Economic Review and web site
Notes: Data are for three-month interbank rates for Egypt.
Country: El Salvador
Begins: January 1998
Sources: Banco Central de Reserve de El Salvador, Bulletin and web site
Notes: Data are a weighted average of interbank rates for El Salvador.
Country: Estonia
Begins: January 1997
Sources: Bank of Estonia, Bulletin and web site
Notes: TALIBOR (Talinn Interbank Offer Rate) is used.
21
Country: Europe
Begins: January 1989
Sources: British Bankers’ Association (www.bba.org.uk) and Banque
National de Belgique, Bulletin and web site
Notes: From 1989 to 1998, the British Bankers’ Association daily fixing
for European Currency Unit deposits is used. Beginning on January 4,
1999, EURIBOR rates are used.
Country: Finland
Begins: January 1987
Sources: Bank of Finland, Monthly Bulletin Helsinki: Finland's Bank and
web site; and Banque National de Belgique, Bulletin and web site
Notes: Data from 1987 to 1998 are HELIBOR (Helsinki Interbank Offer
Rate) rates. Beginning on January 4, 1999, EURIBOR rates are used.
Country: France
Begins: January 1987
Sources: Banque de France, Statistiques Monetaires Definitives, and web
site; British Bankers’ Association (www.bba.org.uk); and Banque
National de Belgique, Bulletin and web site
Notes: Data from 1969 to 1988 are PIBOR (Paris Interbank Offer Rate)
rates as recorded by the Banque de France. From 1989 to 1998, the
British Bankers’ Association daily fixing for French Franc deposits
is used. Beginning on January 4, 1999, EURIBOR rates are used.
Country: Germany
Begins: January 1987
Sources: Bundesbank, Monthly Report, and web site; British Bankers’
Association (www.bba.org.uk) and Banque National de Belgique,
Bulletin and web site
Notes: Data from 1969 to 1998 are FIBOR (Frankfurt Interbank Offer Rate)
rates for 1, 3, 6, and 12 month FIBOR. From 1989 to 1998, the British
Bankers’ Association daily fixing for German Mark deposits is used
for all other maturities. Beginning on January 4, 1999, EURIBOR rates
are used.
Country: Greece
Begins: December 1993
Sources: Bank of Greece, Monthly Statistical Bulletin and web site; and
Banque National de Belgique, Bulletin and web site
Notes: Data from 1987 to 1998 are ATHIBOR (Athens Interbank Offer Rate)
rates. Beginning on January 3, 2001, EURIBOR rates are used.
Country: Guatemala
Begins: January 1997
Sources: Banco Central de Gautemala, Statistical Bulletin and web site
Notes: Data are a weighted average of interbank rates for Guatemala.
Country: Hong Kong
Begins: December 1969
Sources: Hong Kong Monetary Authority, Monthly Statistical Bulletin and
web site
Notes: HIBOR (Hong Kong Interbank Offer Rate) data are used. Data are
daily from 1969 to 1981 and monthly thereafter.
Country: Hungary
Begins: January 1992
Sources: National Bank of Hungary, Monthly Statistical Bulletin and web
site
Notes: BUPOR (Budapest Interbank Offer Rate) data are used.
22
Country: Iceland
Begins: January 1992
Sources: Central Bank of Iceland, Quarterly Bulletin and web site
Notes: REIBOR (Reykjavik Interbank Offer Rate) data are used.
Country: India
Begins: June 1998
Sources: Reserve Bank of India, Monthly Bulletin and web site
Notes: MIBOR (Mumbai Interbank Offer Rate) data are used.
Country: Indonesia
Begins: January 1990
Sources: Bank Indonesia, Monthly Bulletin and web site
Notes: Data are monthly from 1990 to 1998, weekly from June 1998, and
daily for 3- and 6-month rates from April 2001 on.
Country: Ireland
Begins: January 1978
Sources: Central Bank, Quarterly Bulletin and web site; and Banque
National de Belgique, Bulletin and web site
Notes: Data from 1978 to 1998 are Eurodeposit rates for the Irish Pound
are used as recorded by the Central Bank of Ireland. Beginning on
January 4, 1999, EURIBOR rates are used.
Country: Italy
Begins: January 1971
Sources: Banca d’Italia, Bollettino Statistico, Supplementi al
Bollettino Statistico, and web site; British Bankers’ Association
(www.bba.org.uk); and Banque National de Belgique, Bulletin and web
site
Notes: Data from 1971 to 1990 are RIBOR (Rome Interbank Offer Rate)
rates as recorded by the Banca d’Italia. From 1990 to 1998, the
British Bankers’ Association daily fixing for Italian Lira deposits
is used. Beginning on January 4, 1999, EURIBOR rates are used.
Country: Japan
Begins: September 1978
Sources: Bank of Japan, Economic Statistics Monthly and web site; and
British Bankers’ Association (www.bba.org.uk)
Notes: Data from 1971 to 1988 are Eurodeposit rates for Japanese Yen as
recorded by the Bank of Japan. Beginning in 1989, the British
Bankers’ Association daily fixing for Japanese Yen deposits is used.
Country: South Korea
Begins: December 1990
Sources: Bank of Korea, Monthly Statistical Bulletin and web site
Notes: The 3-month Interbank Offer Rate for South Korea is provided.
Country: Kuwait
Begins: January 1979
Sources: Central Bank of Kuwait, Quarterly Statistical Bulletin and web
site
Notes: The 3-month Interbank Offer Rate for Kuwait is provided.
Country: Latvia
Begins: January 1998
Sources: Bank of Latvia, Monetary Bulletin and web site
Notes: RIGBOR (Riga Interbank Offer Rate) data are provided.
23
Country: Lebanon
Begins: January 1982
Sources: Central Bank of Lebanon, Quarterly Bulletin and web site
Notes: The 3-month Interbank Offer Rate at the end of the month for
Lebanon is provided.
Country: Lithuania
Begins: December 1993
Sources: Bank of Lithuania, Monthly Bulletin and web site
Notes: VILIBOR (Vilnius Interbank Offer Rate) data are provided. Data
are monthly to 1998 and daily beginning in 1999.
Country: Luxembourg
Begins: January 1990
Sources: Institut Monetaire Luxembourgeois, Bulletin Trimestriel and web
site; Banque National de Belgique, Bulletin and web site
Notes: The 3-month rate on Eurocurrency deposits in Luxembourg francs is
provided. Beginning on January 4, 1999, EURIBOR rates are used.
Country: Malaysia
Begins: December 1983
Sources: Bank Negara, Monthly Statistical Supplement and web site
Notes: KLIBOR (Kuala Lumpur Interbank Offer Rate) data are provided.
Data are monthly to 1987 and daily beginning in 1999.
Country: Mauritius
Begins: August 1967
Sources: Bank of Mauritius, Quarterly Review and web site
Notes: Data are a weighted average of interbank rates for Mauritius.
Country: Mexico
Begins: May 1977
Sources: Bank of Mexico, Economic Indicators and web site
Notes: The Tasa de Interest Interbancarias for 28 days (TIIE) and the
Tasa de Interest Interbancarias Promedio (TIIP), which is a weighted
average of interbank rates for Mexico, are provided.
Country: Morocco
Begins: January 1994
Sources: Bank Al-Maghrib, Studies and Statistics and web site
Notes: The Interbank Lending Rate for Morocco is provided.
Country: Netherlands
Begins: September 1972
Sources: Netherlands Bank, Quarterly Bulletin Bank and web site; British
Bankers’ Association (www.bba.org.uk); and Banque National de
Belgique, Bulletin and web site
Notes: AIBOR (Amsterdam Interbank Offer Rate) data are provided for the
1, 3, 6 and 12-month interbank rates through 1998 as established by
the Netherlands Bank. The British Bankers’ Association daily fixing
for Netherlands Guilder deposits is used for other maturities through
1998. Beginning on January 4, 1999, EURIBOR rates are used.
Country: New Zealand
Begins: December 1973
Sources: Reserve Bank of New Zealand, Bulletin and web site
Notes: The discount rate on private bills in New Zealand is provided.
Country: Nicaragua
Begins: December 1996
24
Sources: Banco Central de Nicaragua, Quarterly Bulletin, Indicadores
Economicos and web site
Notes: Data are a weighted average of interbank rates for Nicaragua.
Country: Norway
Begins: December 1973
Sources: Norges Bank, Economic Bulletin and web site
Notes: OIBOR (Oslo Interbank Offer Rate), sometimes also referred to as
NIBOR (Norway Interbank Offer Rate) data are provided.
Country: Peru
Begins: September 1995
Sources: Banco Central de Reserva del Peru, Bulletin and web site
Notes: Data are a weighted average of interbank rates for Peru.
Country: Philippines
Begins: December 1995
Sources: Bangka Sentral Ng Pilipinas, Statistical Bulletin and web site
Notes: PHIBOR (Philippines Interbank Offer Rate) data are provided.
Country: Poland
Begins: December 1990
Sources: National Bank, Information Bulletin and web site
Notes: WIBOR (Warsaw Interbank Offer Rate) data are provided. Data are
monthly to 1993 and daily thereafter.
Country: Portugal
Begins: September 1983
Sources: Bank of Portugal, Quarterly Bulletin and web site; British
Bankers’ Association (www.bba.org.uk); and Banque National de
Belgique, Bulletin and web site
Notes: LISBOR (Lisbon Interbank Offer Rate) data are provided for the
1, 3, 6 and 12-month interbank rates through August 1994. The British
Bankers’ Association LIBOR daily fixing for Portuguese Escudo deposits
is used for other maturities beginning in September 1994. Beginning on
January 4, 1999, EURIBOR rates are used.
Country: Romania
Begins: December 1997
Sources: National Bank of Romania, Monthly Bulletin and web site
Notes: The 1-month BUBOR (Bucharest Interbank Offer Rate) data is
provided.
Country: Russia
Begins: January 1995
Sources: Bank of Russia, Bulletin of Banking Statistics and web site
Notes: MIBOR (Moscow Interbank Offer Rate) data are provided.
Country: Singapore
Begins: August 1973
Sources: Monetary Authority of Singapore, Monthly Bulletin and web site
Notes: SIBOR (Singapore Interbank Offer Rate) data are provided. Data
are monthly to 1987 and daily thereafter.
Country: Slovak Republic
Begins: July 1995
Sources: National Bank of Slovakia, Monthly Bulletin and web site
Notes: BRIBOR (Bratislava Interbank Offer Rate) data are provided.
Country: Slovenia
25
Begins: November 1992
Sources: Bank of Slovenia, Monthly Bulletin and web site
Notes: Data are a weighted average of interbank rates for Slovenia.
Country: Spain
Begins: June 1973
Sources: Banco de Espana, Boletin Estadistica and web site; British
Bankers’ Association (www.bba.org.uk); and Banque National de
Belgique, Bulletin and web site
Notes: MIBOR (Madrid Interbank Offer Rate) data are provided through
1990 using rates established by the Bank of Spain. The British
Bankers’ Association LIBOR daily fixing for Spanish Peseta deposits is
used for other maturities beginning in May 1990. Beginning on January
4, 1999, EURIBOR rates are used.
Country: Sri Lanka
Begins: June 1999
Sources: Central Bank of Sri Lanka, Monthly Bulletin and web site
Notes: SLIBOR (Sri Lanka Interbank Offer Rate) data are provided.
Country: Swaziland
Begins: November 1992
Sources: Central Bank of Swaziland, Quarterly Review and web site
Notes: Data for interbank call rates in Swaziland are provided.
Country: Sweden
Begins: April 1980
Sources: Sveriges Riksbank, Quarterly Review and web site; and Banque
National de Belgique, Bulletin and web site
Notes: STIBOR (Stockholm Interbank Offer Rate) data are provided. Data
are monthly until 1994 and daily thereafter.
Country: Switzerland
Begins: May 1973
Sources: Schweizerisches Nationalbank, Monatsbericht and web site;
British Bankers’ Association (www.bba.org.uk)
Notes: Eurofranc deposit data are provided for the 3- and 6-month
interbank rates through 1988. The British Bankers’ Association LIBOR
daily fixing for Swiss Franc deposits is used beginning in 1989.
Country: Taiwan
Begins: January 1982
Sources: Republic of China, Financial Statistics Monthly and web site
Notes: A weighted average of interbank offer rates for Taiwan is
provided.
Country: Thailand
Begins: January 1982
Sources: Bank of Thailand, Monthly Bulletin and web site
Notes: Interbank rates for Bangkok are provided. End-of-month data are
provided.
Country: Turkey
Begins: April 1986
Sources: Turkiye Cumhuriyet Merkez Bankasi (Central Bank of Turkey),
Quarterly Bulletin and web site
Notes: A weighted average of interbank offer rates for Turkey is
provided.
Country: United Kingdom
26
Begins: June 1964
Sources: Bank of England, Quarterly Bulletin and web site; British
Bankers’ Association (www.bba.org.uk) web site; and Banque National
de Belgique, Bulletin and web site
Notes: Eurosterling currency deposit rates are used through 1986. Data
for 1- and 3-month deposits are monthly through 1978 and daily
thereafter. The British Bankers’ Association LIBOR daily fixing for
British Pound Sterling deposits is used for all maturities beginning
in 1987.
Country: United States
Begins: January 1951
Sources: Board of Governors of the Federal Reserve System, Federal
Reserve Bulletin and web site (1951-1986); British Bankers’
Association (www.bba.org.uk) web site (1987 ff)
Notes: The Fed Funds rate is the overnight lending rate between banks in
the United States. Fed Funds data are market rates, rather than the
official Fed Funds Rate established by the Federal Reserve Bank.
Eurodollar currency deposit rates are used for all data through 1986.
The British Bankers’ Association LIBOR daily fixing for British Pound
Sterling deposits is used for all maturities beginning in 1987.
Country: World
Begins: January 1984
Sources: OECD, Monthly Financial Statistics, Paris: OECD and web site
Notes: The OECD provides a monthly, weighted-average 3-month interbank
rate for all OECD countries.
Country: Zambia
Begins: December 1997
Sources: Bank of Zambia, Quarterly Statistical Review and web site
Notes: 3-month interbank rates for Zambia are provided.
Country: Zimbabwe
Begins: January 1980
Sources: Reserve Bank of Zimbabwe, Quarterly Economic and Statistical
Review and web site
Notes: The 3-month discount rate on bankers’ acceptances is provided.
27
PRIVATE DISCOUNT RATES
Unless otherwise noted, rates are monthly averages of the private
discount rate on high quality bills for three months. The private
discount rate was the most useful measure of short-term interest rates
prior to World War II. Today Treasury bill rates and three-month
interbank deposit rates are the preferred measurements of short-term
interest rates. Consequently, many series are not current. The current
series include
Country
Name
Australia
Australia
Australia
Canada
Canada
Croatia
Croatia
Croatia
Japan
Mexico
Mexico
Namibia
Norway
Peru
Singapore
South Africa
South Korea
Taiwan
Thailand
United Kingdom
United
United
United
United
States
States
States
States
Begins
01/196801/28/7601/1956
01/1956
12/1992
01/1993
06/1996
01/1889
01/197501/199106/198701/199706/198111/198012/199601/180001/190911/194501/1835
Source
File
07/01/1976- Bank Bills 1 mo.
04/07/1976- Bank Bills 3 mos.
04/07/1976- Bank Bills 6 mos.
01/03/1990- 06/30/1992- CP 1 mo
01/03/1990- 06/30/1992- CP 3 mo
Bills 1 month
Bills 3 months
Bills 6 months
Bills
Ave. Cost Funds
01/06/1995Commercial Paper
3-month BAs
Ave. Cost Funds
Pref. Disc. Rate
12/31/1987Paper 3 month
01/02/19813-month Com Paper
09/01/19943-month Com Paper
Commercial Paper
Overnight Repos
12/31/1879-12/25/1908
02/12/1927-10/26/1945
Commercial Bills
04/08/1971- CP 1 month
06/12/1979- CP 2 months
01/05/1872- 05/03/1971- CP 3 months
04/08/1971- CP 6 months
IPAUS1M
IPAUS3M
IPAUS6M
IPCAN1D
IPCAN3D
IPHRV1M
IPHRV3M
IPHRV6M
IPJPNM
IPMEXM
IPMEXCPD
IPNORM
IPPERM
IPSGPD
IPZAFW
IPKORD
IPTWNM
IPTHAM
IPGBRW
IPUSAC1D
IPUSAC2D
IPUSAC3D
IPUSAC6D
Monthly Historical series include:
Country
Monthly
Austria
07/1860-06/1931
Belgium
07/1848-04/1940
Bulgaria
01/1928-08/1943
China
01/1928-09/1941
Czechoslovakia
01/1926-08/1939
France
07/1860-06/1940
Germany
01/1870-03/1945
Germany Contango
Germany (Hamburg) 01/1854-12/1899
Germany(Frankfurt)01/1854-12/1899
Hungary
07/1924-08/1944
India
04/1921-12/1952
Italy
01/1922-09/1939
Japan
Netherlands
07/1860-01/1927
Romania
01/1929-06/1946
Russia
01/1867-12/1899
Weekly
12/31/1879-12/25/1908
12/31/1879-12/26/1888
01/05/1924-12/26/1939
09/03/1927- 01/30/1937
02/12/1927-05/11/1940
28
File Name
IPAUTM
IPBELM
IPBULM
IPCHNM
IPCZEM
IPFRAW
IPDEUW
IPDEUCTW
IPHAMM
IPFRKM
IPHUNM
IPINDM
IPITAM
IPJPNW
IPNLDW
IPROMM
IPRUSM
Sweden
Switzerland
United States
United States
01/1926-12/1941
IPSWEM
01/1907-12/1979
02/12/1927-09/26/1947
IPCHEM
08/1917
01/04/1919-06/30/2000
BA 3 months IPUSAB3D
01/02/1976-06/30/2000
BA 6 months IPUSAB6D
Description of Individual Data Files
Unless otherwise stated, all data series are monthly. Series for
which data are annual and/or quarterly are so indicated in the file
descriptions. The data are taken from government statistics. Where
possible we have gone to the original government statistical
publications for the data; however, in some cases, international
publications of the IMF, OECD, League of Nations or UN have been used,
all of whom rely upon the same government statistics. Principal sources
include:
International Monetary Fund, International Financial Statistics, New
York: IMF (1948-) (IMF)
International Statistical Institute, International Abstract of Economic
Statistics, London: International Conference of Economic Services
(1919-1930 (published 1934) and 1931-1936 (published 1938)) (ISI)
League of Nations, Monthly Statistical Bulletin, Geneva: League of
Nations (1920-1946) (LoN)
League of Nations, Statistical Yearbook, Geneva: League of Nations
(1926-1944/45) (LoN)
Organization for Economic Cooperation and Development, Main Economic
Indicators, Paris: OECD (1952-) and OECD, Monthly Financial
Statistics, Paris: OECD (OECD)
Statistisches Reichsamt, Statistisches Jahrbuch fur das Deutsche Reich,
Berlin: Statistisches Reichsamt (1888-1941/2)
United Nations, Monthly Statistical Bulletin, New York: United Nations
(1947-) (UN)
Country: Austria
Dates: July 1860-June 1931
Sources: The Economist (1867-1914), International Statistical Institute
(1920-1931); Oesterreicheschen National Bank, Mitteilungen des
Direktoriums der Oesterreicheschen Nationalbank, Vienna: ONB (1985-)
Notes: The data are for the beginning of the month from 1867 to 1914.
No data are available from August 1914 to December 1919.
Country: Belgium
Dates: July 1848-April 1940
Sources: The Economist (1867-1914), International Statistical Institute
(1919-36), League of Nations (1937-40); Banque National de Belge,
Bulletin (1990-)
Notes: The data are for the beginning of the month from 1848 to 1914.
No data are available for August 1914 to May 1919.
Country: Bulgaria
Dates: January 1928-August 1943
Sources: League of Nations, Monthly Bulletin (1928-1943)
Country: Canada
Begins: January 1956
Sources: Bank of Canada, Weekly Financial Statistics
Notes: Data are for 1-month (series B14039) and for 3-month (series
B14017) discounts on financial paper.
Country: China
29
Dates: January 1928-September 1941
Sources: League of Nations (1928-1941)
Country: Czechoslovakia
Dates: January 1926-August 1939
Sources: League of Nations (1926-39)
Country: France
Dates: July 1860-June 1940
Sources: The Economist and Investor’s Monthly Manual (1867-1914), ISI
(1920-36), League of Nations (1936-40), Banque de France, Bulletin
Trimestriel (1974-)
Notes: Data are for the beginning of the month from 1867 to 1914.
Weekly data are available from 1879 until 1908 (IPFRAW). No data are
available from August 1914 until December 1921. The one-month
Contango rate (which was the interest rates charged at the stock
market on loans between the purchase date of a stock and its
settlement date) is available from January 1920 until December 1936
(IPFRACTM) and the three-month rate from January 1922 until June 1940
in IPFRAM.
Country: Germany
Dates: January 1867-March 1945
Sources: Hunt’s Merchants Magazine, (1854-1860) The Economist and
Investor’s Monthly Manual (1860-1894), Statistisches Reichsamt (18951945); Deutsche Bundesbank, Monthly Report (1988-)
Notes: Three series are used here. The data are for the beginning of
the month from The Economist from 1867 until 1914. Weekly data are
available from 1879 through 1888. The discount rate for the Berlin
stock market begins in 1895 and is a monthly average of daily rates.
No discount rate was available for 1922 and 1923, so the call money
rate has been used. Weekly data are available for 1924 through 1941.
The one-month contango rate is available from 1924 until August 1939.
Also included are files with discount rates for Hamburg and Frankfurt
covering 1854 through 1899.
Country: Hungary
Dates: July 1924-August 1944
Sources: League of Nations (1920-31)
Country: India
Begins: April 1921
Sources: Reserve Bank of India, Banking and Monetary Statistics of
India, Bombay: Reserve Bank of India, 1954, 1962
Notes: The discount rate in the Calcutta bazaar is provided through
1952. No data are available from 1953 through 1995. The current
series is the discount rate on commercial paper.
Country: Italy
Dates: January 1922-September 1939
Sources: Statistisches Reichsamt (1922-26), League of Nations (1927-39);
Banca d’Italia, Bulletin (1988-)
Country: Japan
Begins: January 1889
Sources: Japan Statistical Yearbook, Sorifu: Tokeikyoku (1889-24),
League of Nations (1925-38), Industrial and Commercial Semi-Annual
Report (1949-57); Bank of Japan, Economic Statistics Monthly (1980-)
Notes: No data are available for July 1945 through December 1948 and
July 1957 through September 1980.
30
Country: Mexico
Begins: January 1975
Sources: Banco de Mexico, Economic Indicators (1981-)
Notes: The average cost of funds for banks’ liabilities is used.
Country: Namibia
Dates: January 1991Source: Namibia Central Bank
Notes: The data are from two commercial banks through December 1995 and
an average of all Namibian banks from January 1996 on.
Country: Netherlands
Dates: January 1867-May 1940
Sources: The Economist (1867-1914), International Statistical Institute
(1919-36), League of Nations (1937-40), Netherlands Bank, Quarterly
Bulletin (1985-)
Notes: Data are for the beginning of the month from 1867 until 1914. No
data are available from August 1914 until December 1918. The threemonth discount rate is available until May 1940; the one-month
contango rate is available from January 1919 until October 1942
(IPNLDCTM), and weekly call money rates are available from February
1927 until May 1940 (IPNLDW).
Country: Romania
Dates: January 1929-June 1946
Sources: League of Nations, Monthly Bulletin (1929-1946)
Country: Russia
Begins: January 1867
Ends: December 1899
Sources: The Economist (1867-1899)
Notes: Data are for the beginning of the month in St. Petersburg.
Country: Singapore
Begins: December 1991
Sources: Monetary Authority of Singapore, Monthly Statistical Bulletin
Notes: The overnight repo rate is used.
Country: Sweden
Dates: January 1926-December 1941
Sources: League of Nations (1926-39), Sveriges Riksbank, Quarterly
Review, Stockholm (1974-)
Country: Taiwan
Begins: January 1986
Sources: Republic of China, Financial Statistics Monthly, Taiwan:
Republic of China (1973-)
Notes: The money market rate on commercial paper is used. Data are
annual through April 1993 and monthly thereafter.
Country: Thailand
Begins: December 1996
Sources: Bank Negara, Monthly Statistical Bulletin
Notes: The overnight repo rate is used.
Country: United Kingdom
Begins: January 1800
Sources: Sydney Homer, A History of Interest Rates, Sydney: Princeton
University Press, 1967, (1800-1823) (NBER) Parliamentary papers,
31
1857, X, Pt. I; Report from the Select Committee on Bank Activity,
pp. 463-464 (1824-May 1857); The Economist and Investor’s Monthly
Manual (1867-1939), Central Statistical Office, Annual Abstract of
Statistics, London: CSO (1919-)
Note: Data are for the beginning of the month from 1867 until 1917.
Data for 1824-1857 are for “first class bills” at undetermined
periods. Thereafter, the data are for three-month Banker’s bills
whenever given, or the nearest item to this type of paper or the
closest period. Data for 1847 were affected by the famine in Ireland
and the heavy export of gold to the U.S. and the continent in payment
for the large imports for grain (See Hunt’s Merchants Magazine, 1859,
p. 95). Data for April 1866 were affected by the failure of Overend,
Gurney, and company. Weekly call money rates are available from 1877
through 1908, the 60-day private discount rate from 1890 through
1908, the 6-month private discount rate from 1889 through 1908 and
the 3-month rate from 1927 on.
Country: United States
Begins: January 1835
Sources: Walter B. Smith and Arthur H. Cole, Fluctuations in American
Business, Cambridge: Harvard Univ. Press, 1935, The Financial Review.
Federal Reserve, National Monetary Statistics, New York: Federal
Reserve Board which was published in 1941, 1970 and annually since
then.
Notes: The discount rate on commercial paper is used.
32
GOVERNMENT BOND YIELDS
Unless otherwise noted, data are for long-term government bonds,
usually with a maturity of at least ten years. Although most countries
now provide yield data on their long-term government bonds, which either
combine the yields of all long-term bonds, or calculate a constant
maturity, with ten-year bonds being the usual maturity, this is a recent
development. Standard & Poor's and Moody’s began calculating government
bond indices and yield data back in the 1920s, but it was only in the
1970s that most foreign governments began calculating yield data on
their government bonds (though the British government had begun doing
this back in the 1930s), rather than giving the yield on a specific
issue.
In order to provide long-term data on government bond yields, it is
necessary to go to individual bonds and calculate the implied yield by
dividing their price by the coupon. The government bond yields, which
were published by the League of Nations, the United Nations and the
International Monetary Fund referred to individual bond yields up until
the 1970s. However, there are several problems with using individual
bonds. First, bonds mature. As the maturity date approaches for a
bond, the risk to the owner of changes in interest rates to the price of
the bond falls, reducing the risk and the volatility of the bond’s price
and yield. Moreover, the chance of the bond being called increases as
it matures. Ultimately, the issue will be retired, and a new bond must
be found to represent the government’s interest costs. The new bond is
unlikely to be issued at the old interest rate, and because of
differences in maturity, default risk, call risk, whether the issue is
registered or not, whether a sinking fund is provided, the source of
guarantee for the bond, and other matters, the two bonds will not be
directly comparable. There will usually be a difference in the implied
yield. Though a difficulty, this problem is unavoidable and simply has
to be recognized as a fact of life.
Second, coupons can change or be eliminated. Even on the British
consol, the British government changed the coupon twice, reducing the
interest rate from 3% to 2.75% to 2.5% between 1883 and 1907. For
riskier issues, such as Latin American countries, not only was there a
risk that coupons could be eliminated, but that the entire issue could
go in default. At that point, the implied yield becomes meaningless,
and any yield over 10% before World War II should be treated as implying
that the issue was in default on either coupon, on principal, or on
both.
Speculators purchased defaulted bonds in the hope that a future
government would reorganize the country’s finance and convert the old
bonds into new ones, which provided a new coupon and a different
maturity date, or in the hope that the government would pay interest a
lower rate than the coupon. For example, even though the Soviet
government officially repudiated the Tsarist bonds in 1918, the bonds
continued to trade regularly on both the London and Paris exchanges for
another ten years, as did bonds from Czechoslovakia and Poland after
World War II. Only in 1996, when the Russian government made its first
international bond offering since the Russian Revolution, did the
government finally settle the issue of these bonds.
Few governments kept government bond yield data prior to the 1920s
when the League of Nations began publishing the data in their
publications, so any data prior to that must come from the records of
individual exchanges. Since London was the financial center of the
world before World War I, data from the London stock exchange has been
used to calculate these yields. Most bonds traded in London were
33
payable in pounds sterling, though some bonds were payable in foreign
currency (Austria, Belgium, France, Germany, and Italy).
After the Napoleonic wars were over, there was a flurry of capital
raising in London in the 1820s. As the British government converted its
debt from bonds paying 5% to ones paying 4%, then 3%, investors sought
higher yields, and between 1818 and 1832 twenty-six foreign governments
floated issues in London. When foreign governments began to default on
their debts in the 1830s, new issues ground to a halt and were few and
far between until a new wave of issues began in the 1860s when foreign
bonds began to flood the market again.
For example, in 1843, securities listed on the London stock exchange
totaled 1.2 billion pounds of which 63% were British government
obligations, 17% were British colonial and foreign government
obligations, and 20% were shares and bonds of private companies.
However, by 1875, the total listing of shares and stocks had increased
to 4.5 billion pounds of which only 13% were British government
obligations, 55% were obligations of British municipalities, colonial
governments and foreign governments, and 32% were shares and bonds of
private companies. The focus of investors had shifted dramatically.
To put together these data, several London publications were used.
In 1823, The Times of London began publishing trades in foreign
government securities (prior to that only trades in British consols,
Bank of England stock, and East Indies Company stock as well as the
occasional trade in South Seas stock was published), and The Times was
used until 1844. In 1844 two new publications were introduced in
London, The Economist began its weekly publication which continues
today, and The Banker’s Magazine began publishing on a monthly basis.
Both periodicals published price lists for stocks and bonds that are the
basis for these data. In 1865, the Economist began publishing the
Investor’s Monthly Manual (which was discontinued in 1930), which
provided a monthly summary of the financial markets including high, low
and final prices for bonds and stocks. The Economist price lists
provided a record of all trades for each day until 1870 when bid-ask
spreads were provided; however, the Investor’s Monthly Manual continued
to publish the final trade for the month. Wherever possible, the final
trade of the month has been used to calculate the yield, but when only
the bid-ask was available, the ask price was used to calculate the
yield.
In choosing the series to include in the database several factors
were considered, primarily the capitalization, liquidity and longevity
of the issue in order that the number of series and changes from one
bond to another could be minimized. Some governments such as Britain and
France issued perpetual bonds, which had no maturity date, though only
the British consol has survived unscathed. Although the number of
issues such as the Russian 5s of 1822 which provide a continuous record
from 1823 until 1914 are the exception, in most cases there were one or
two issues which were the focus of investors’ attention and which could
be used. During the 1840s through 1860s, however, many issues defaulted
or were retired limiting the run of data, and though data become regular
starting in the 1860s, as yields continuously declined during the 1860s,
governments took advantage of this to retire old debt as soon as cheaper
debt could be issued. For example, Canada’s 6s, which were issued in
the 1850s, were followed by the 5s in the 1860s, the 4s in 1874, the
3.5s in 1884, the 3s in 1889 and the 2.5s in 1898. Japan, which had
originally issued bonds at 9% in 1870, issued 4% bonds in 1899.
Although these bonds were rarely issued at par, the government’s
interest costs were substantially reduced. As a result, an inverted
yield curve was the norm throughout the 1800s as investors anticipated
drops in interest rates over time, which offset the interest rate risk
that existed.
34
To address this problem, two sets of data are included. First, the
yields of individual bond issues are included so the course of that bond
can be followed over time (these files begin with IH*). All data are
given as yields so the data can be compared more easily with other
issues, though by dividing the yields by their coupons, the original
bond prices can be obtained. As a result of these different bond
issues, 6s, 5s, 4s, 3.5s and 3s might all simultaneously traded on the
London Stock Exchange, and the 5s and 4s might have the same price.
This could occur because of differences in maturity, liquidity, sinking
funds, call risk, and so forth.
To address this problem of the Babel of bonds, a general series of
bonds which switch to the lowest yielding bonds as they are introduced
is also included (these files begin with IG*). Since the IG files are
usually a combination of different bonds, the file descriptions should
be consulted to determine which bonds were used for which periods of
time. These series include yields based upon issues traded on the
London Stock Exchange through the 1920s when the League of Nations began
listing domestic yields. Whenever domestic yields became available,
these were substituted for London yields. Nevertheless, London yields
are listed for some countries in separate files because domestic yields
were not always market yields since domestic governments controlled the
prices (and thus the yields) of their bonds, and the differences in
domestic yields and London yields provide interesting contrasts during
the 1930s and 1940s when the risks of bond defaults and political
uncertainty increased.
For government bond data prior to World War I on the London Stock
Exchange, yields are calculated by dividing the coupon by the price of
the bond. Strictly speaking, this does not provide the true yield on
the bonds since this assumes the bonds are irredeemable, as the British
consol is. There are two reasons for providing the yields in this way.
First, users of the database can easily determine the price on the bonds
by dividing the coupon by the yield. Second, most bonds issued prior to
World War I were either irredeemable or had maturities of 20+ years, so
calculating the yield in this manner does not provide data significantly
different from the true yield. Third, many of the developing countries
defaulted on their bonds at some point in time, failed to pay interest
on their bonds, or lowered the interest rate that they paid on their
bonds. It should be assumed that any yield exceeding 10% reflected an
unwillingness of the country to pay interest rather than an opportunity
for high returns. The lack of dividends further complicates the
calculation of the yield since, strictly speaking, a bond that is not
receiving any dividend has no yield. For those who want to calculate
the true yield, most spreadsheet programs, such as EXCEL, provide a
function that allows you to determine the yield based upon the maturity
of the bond.
Prior to World War I, very few foreign bonds were traded on the New
York Stock Exchange, and beginning in the 1920s, foreign governments
began to take advantage of the NYSE’s liquidity; however, New York bond
yields have primarily been used where London and domestic data were
unavailable.
For fundamental information on the bonds, several sources should be
consulted. The best introduction is Sidney Homer’s, A History of
Interest Rates, New Brunswick: Rutgers University, 1963, which has been
recently revised. For information on the governments which issued the
bonds, see various editions of Charles Fenn, Fenn’s Compendium of the
English and Foreign Funds, Debts and Revenues of all Nations which was
published periodically throughout the 1800s. A better source of
information for individual bond issues, including most of those provided
in the database is The Fitch Record of Government Finances, New York:
Fitch Publishing Company which was published periodically beginning in
the 1910s. This is an excellent source of information on individual
35
issues. A good summary of bonds issued on the London stock exchange
between 1870 and 1914 is provided in Appendix A of Toshio Suzuki,
Japanese Government Loan Issues on the London Capital Market 1870-1913,
London: The Athlone Press, pp. 186-199.
Since World War II, inflation has been the norm, and the result is a
positively-sloped yield curve, except when a recession is imminent. As
a result, bond maturities have shrunk, and perpetual bonds have become
almost non-existent. Governments issue and retire bonds on a weekly or
monthly basis, which makes it impossible to use a single bond to measure
yields. Instead, governments provide indices of bond yields that try to
maintain constant maturities for accuracy of comparison, the best
example of this being the Federal Reserve’s constant maturity indices.
Today, most series refer to bonds of around ten years maturity, though
where possible, longer-term bonds have been used to make the comparison
between bills, notes and bonds more useful.
Unless otherwise indicated, all series present yields and not prices
of individual bonds. Some annual data on bond prices and yields can be
found in the files INTEREST.XLS. The following series are included in
the database:
Current Series
Country
Australia
Australia
Australia
Australia
Australia
Austria
Austria
Austria
Austria
Austria
Belgium
Belgium
Belgium
Belgium
Belgium
Belgium
Belgium
Belgium
Bulgaria
Canada
Canada
Canada
Canada
Canada
Canada
Canada
Canada
Canada
Canada
Canada
Canada
Canada
Canada
Chile
Colombia
Colombia
Czech Republic
Czech Republic
Czech Republic
Monthly
01/193601/193611/197012/185807/198509/1996
03/1874-
01/1959
01/1832
01/1994
01/194906/198206/198201/193611/198001/195101/198501/198203/199801/197601/194801/185501/199104/199201/199812/199711/199803/1997-
Weekly
Daily
01/07/1976- 09/30/198301/03/199501/07/1976- 09/30/198301/07/1976- 09/30/198301/03/199512/30/198810/02/1999- 09/29/200012/04/198912/30/198807/21/198606/01/198712/31/198612/31/198606/01/198706/01/198701/03/199012/01/199302/23/199801/03/199001/03/199001/03/199001/03/199001/03/199001/03/199004/16/198610/01/1999-
12/03/199010/01/199110/01/199112/03/199001/02/199012/03/199010/01/199101/03/198909/29/200001/02/1990-
01/03/199001/03/199001/03/1990- 12/03/199011/19/1991-
10/01/1999- 09/29/200010/01/1999- 09/29/200004/14/2000- 09/29/2000-
36
Maturity
2 years
3 years
5 years
10 years
Indexed
1 year
2 years
3 years
5 years
10 years
1 year
2 years
3 years
4 years
5 years
10 years
20 years
30 years
10 years
1-3 years
2 years
3 years
3-5 years
5 years
5-10 years
7 years
10 years
30 years
Long-term
MT Provinc.
LT Provinc.
10+ Years
Indexed
10 Yr Index
1 Year
Indexed
3 years
5 years
10 years
File Name
IGAUS2D
IGAUS3D
IGAUS5D
IGAUS10D
IGAUSID
IGAUT1D
IGAUT2D
IGAUT3D
IGAUT5D
IGAUT10D
IGBEL1D
IGBEL2D
IGBEL3D
IGBEL4D
IGBEL5D
IGBEL10D
IGBEL20D
IGBEL30D
IGBGRM
IGCAN1D
IGCANB2D
IGCANB3D
IGCAN3D
IGCANB5D
IGCAN5D
IGCANB7D
IGCAN10D
IGCAN30D
IGCANLTD
IGCANPMW
IGCANPLW
IGCAND
IGCANID
IGCHL10M
IGCOL1M
IGCOLIM
IGCZE3D
IGCZE5D
IGCZE10D
Denmark
Denmark
Denmark
Denmark
Denmark
Ethiopia
Europe
Europe
Europe
Europe
Europe
Europe
Europe
Finland
Finland
Finland
Finland
Finland
France
France
France
France
France
France
Germany
Germany
Germany
Germany
Germany
Germany
Germany
Germany
Germany
Germany REX Index
Germany Benchmark
Germany
Germany
Germany
Germany
Germany
Greece
Greece
Greece
Greece
Greece
Honduras
Hong Kong
Hong Kong
Hong Kong
Hong Kong
Hong Kong
Hungary
Hungary
Hungary
Hungary
Iceland
Iceland
Iceland
India
India
09/199601/198801/197812/197706/182112/198506/199306/199301/198401/198406/199312/199809/199609/199608/199108/191001/198401/198701/197801/198401/180004/199801/196701/196701/196701/196701/196701/196701/196701/196701/196701/196701/1967-
11/181512/194110/199810/199801/199301/1983-
01/02/199801/02/199801/02/199801/02/199801/02/199010/01/1999- 09/29/200001/01/1999- 09/29/200001/01/199801/01/1999- 09/29/200001/01/199801/02/198610/01/1999- 10/01/200001/02/199801/02/199801/02/199801/02/199608/31/199102/05/199702/05/199702/05/199702/05/199701/31/198610/01/1999- 09/29/200004/07/199701/02/199601/02/199604/07/199701/02/199604/07/199701/02/199604/07/199704/07/199701/03/199001/03/199001/07/1982- 10/07/198701/07/1982- 11/02/198701/07/1982- 11/02/198706/07/1988- 01/03/199401/05/1924-12/05/1941
01/07/1977- 02/28/197707/07/2000- 10/11/200007/07/2000- 10/11/200010/01/1999- 09/29/200010/01/1999- 09/29/200004/02/199911/19/199110/26/199309/27/199411/28/199510/29/1996-
02/199702/199702/199701/199911/199301/197101/1992-
09/03/200109/03/200109/03/200101/08/1993- 12/30/199511/11/1994- 12/30/1995-
37
1 year
2 years
3 years
5 years
10 years
Natl. Bank
1 year
2 years
3 years
5 years
7 years
10 years
30 years
1 year
2 years
3 years
5 Years
10 years
1 year
2 years
3 years
5 years
10 years
30 years
1 year
2 years
3 years
4 years
5 years
6 years
7 years
8 years
9 years
10 years
10 years
3-5 years
5-8 years
8-15 years
15-30 years
IGDNK1D
IGDNK2D
IGDNK3D
IGDNK5D
IGDNK10D
IGETHM
IGEUR1D
IGEUR2D
IGEUR3D
IGEUR5D
IGEUR7D
IGEUR10D
IGEUR30D
IGFIN1D
IGFIN2D
IGFIN3D
IGFIN5D
IGFIN10D
IGFRA1D
IGFRA2D
IGFRA3D
IGFRA5D
IGFRA10D
IGFRA30D
_GREX1RD
_GREX2RD
_GREX3RD
_GREX4RD
_GREX5RD
_GREX6RD
_GREX7RD
_GREX8RD
_GREX9RD
_GREX10RD
IGDEU10D
IGDEU35D
IGDEU58D
IGDEU15D
IGDEU30D
All Govt.
1 year
2 years
3 years
5 years
10 years
2 years
2 years
3 years
5 years
7 years
10 years
2 years
3 years
5 years
10 years
5 years
5 yr Index
25 yr Index
1 year
5 years
_BBKAD
IGGRC1D
IGGRC2D
IGGRC3D
IGGRC5D
IGGRC10D
IGHONM
IGHKG2D
IGHKG3D
IGHKG5D
IGHKG7D
IGHKG10D
IGHUN2M
IGHUN3M
IGHUN5M
IGHUN10M
IGISLM
IGISLIM
IGISL25M
IGIND1D
IGIND5D
India
Ireland
Ireland
Ireland
Ireland
Ireland
Israel
Israel
Italy
Italy
Italy
Italy
Italy
Italy
Italy
Jamaica
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Kazakhstan
Kenya
South Korea
South Korea
South Korea
South Korea
Latvia
Lebanon Eurobond
Lithuania
Luxembourg
Luxembourg
Luxembourg
Luxembourg
Malaysia
Malaysia
Malaysia
Malaysia
Mexico
Mexico
Mexico
Morocco
Namibia
Nepal
Netherlands
Netherlands
Netherlands
Netherlands
Netherlands
Netherlands
Netherlands
Netherlands
Netherlands
Netherlands
Netherlands
New Zealand
New Zealand
New Zealand
01/180009/1996
09/199601/197801/199405/192801/199501/199701/198201/195701/199503/186312/199605/198405/196110/199605/198001/197805/198011/187001/198006/198603/199801/198712/195710/200012/199811/199404/199507/199201/198401/194601/199201/199201/196101/199201/199505/200007/200101/198301/199106/1981-
01/195801/196501/181401/195501/1955-
11/11/1994- 12/30/1995- 10 years
10/01/1999- 09/29/2000- 1 year
10/01/1999- 09/29/2000- 2 years
01/01/1998- 3 years
10/01/1999- 09/29/2000- 5 years
05/26/1986- 10 years
5-yr Index
1-yr Index
02/03/1997- 1 year
02/03/1997- 2 years
02/03/1997- 3 years
02/03/1997- 5 years
12/15/1983- 03/06/1991- 10 years
01/01/1998- 30 years
Indexed
10 years
01/01/1998- 1 year
01/01/1996- 2 years
01/01/1996- 3 years
01/01/1996- 5 years
01/01/1996- 7 years
10/01/1982- 10 years
10/01/1999- 09/29/2000- 20 years
09/30/1999- 09/29/2000- 30 years
10+ Years
10 years
01/05/1987- 1 year
11/02/1998- 3 years
5 years
10 years
2 years
5 years
1 year
3 Years
3-7 Years
7-15 years
02/21/1994- 10 years
3 years
5 years
10 years
20 years
3 years
5 years
10 years
5 years
2 years
2 years
09/24/1990- 3 years
09/24/1990- 4 years
09/24/1990- 5 years
09/24/1990- 6 years
09/24/1990- 7 years
09/24/1990- 8 years
09/24/1990- 9 years
04/03/1978- 10 years
01/02/1981- 3-5 years
01/02/1981- 5-8 years
01/02/1984- 5 Longest
06/24/1987- 1 year
04/01/1985- 2 years
04/01/1985- 5 years
38
IGIND10D
IGIRL1D
IGIRL2D
IGIRL3D
IGIRL5D
IGIRL10D
IGISRI5M
IGISR10M
IGITA1D
IGITA2D
IGITA3D
IGITA5D
IGITA10D
IGITA30D
IGITAIM
IGJAMM
IGJPN1D
IGJPN2D
IGJPN3D
IGJPN5D
IGJPN7D
IGJPN10D
IGJPN20D
IGJPN30D
IGKZKM
IGKENM
IGKOR1D
IGKOR3D
IGKOR5M
INKOR10M
IGLTVM
IGLBNM
IGLTUM
IGLUX3M
IGLUX5M
IGLUXM
IGLUXD
IGMYS3M
IGMYS5M
IGMYS10M
IGMYS20M
IGMEX3M
IGMEX5M
IGMEX10M
IGMARM
IGNAMM
IGNPLM
_BCBSD
_CCBSD
_DCBSD
_ECBSD
_FCBSD
_GCBSD
_HCBSD
_JCBSD
_KCBSD
_LCBSD
_CBSHD
IGNZL1D
IGNZL2D
IGNZL5D
New Zealand
New Zealand
Norway
Norway
Norway
Pakistan
Poland
Philippines
Philippines
Philippines
Portugal
Portugal
Portugal
Portugal
Portugal
Portugal
Russia
Singapore
Singapore
Singapore
Singapore
Singapore
South Africa
South Africa
South Africa
South Africa
South Africa
South Africa
South Africa
Slovak Republic
Spain
Spain
Spain
Spain
Spain
Spain
Sri Lanka
Sweden
Sweden
Sweden
Sweden
Sweden
Sweden
Switzerland
Switzerland
Switzerland
Switzerland
Switzerland
Switzerland
Switzerland
Switzerland
Taiwan
Thailand
Trinidad & Tobago
Tunisia
United Kingdom
United Kingdom
United Kingdom
United Kingdom
United Kingdom
United Kingdom
02/186511/199504/198701/198412/187601/194907/191501/199601/199609/199611/182301/198909/199601/198704/199307/199301/199901/199710/199201/196005/199901/198505/199905/198612/186001/198111/199407/198707/198709/198807/182107/199601/195107/198209/199601/198401/198406/186809/199701/191509/199609/199609/1996
01/199001/199801/199801/199512/197909/196801/199109/199609/199601/196301/193701/195801/1958-
04/01/198508/26/199703/06/198701/02/198601/02/1986-
01/31/199701/31/199701/31/199701/31/199707/16/199307/04/1997- 01/02/199812/31/1987- 01/02/199807/04/1997- 01/02/199806/29/199808/28/200110/01/1999- 09/29/200010/01/1999- 09/29/200010/01/1999- 09/29/200010/01/1999- 09/29/200001/02/199801/02/199801/16/1986- 04/04/199101/02/199801/02/199801/02/199801/02/199801/02/199801/03/199408/30/1984- 01/16/198709/04/199602/05/199702/05/199702/05/199702/05/199701/02/199110/01/1999- 09/29/2000-
02/05/199702/05/199702/05/199701/02/197901/02/197901/02/1990-
39
10 years
Indexed
3 years
5 years
10 years
10 years
5 years
2 years
5 years
10 years
Variable2+
1 year
2 years
3 years
5 years
10 years
10+ Years
2 years
5 years
7 years
10 years
15 years
0-3 years
2 years
3-5 years
5 years
10 years
20 years
Municipals
5 years
1-2 years
3 years
5 years
10 years
15 years
30 years
5 years
1 year
2 years
3 years
5 years
10 years
Indexed
Confederat
1 year
2 years
3 years
5 years
10 years
20 years
30 years
10 years
10 years
5 years
5 years
1 year
2 years
3 years
5 years PNY
10 year PNY
10 yr Bench
IGNZL10D
IGNZLID
IGNOR3D
IGNOR5D
IGNOR10D
IGPAKM
IGPOLM
IGPHI2M
IGPHI5M
IGPHI10M
IGPRTM
IGPRT1D
IGPRT2D
IGPRT3D
IGPRT5D
IGPRT10D
IGRUSM
IGSGP2D
IGSGP5D
IGSGP7D
IGSGP10D
IGSGP15D
IGZAF3M
IGZAF2YD
IGZAF5M
IGZAF5YM
IGZAF10D
IGZAF20D
IGZAFMUM
IGSVKM
IGESP1D
IGESP3D
IGESP5D
IGESP10D
IGESP15D
IGESP30D
IGLKAM
IGSWE1D
IGSWE2D
IGSWE3D
IGSWE5D
IGSWE10M
IGSWEIM
_SBDYD
IGCHE1D
IGCHE2D
IGCHE3D
IGCHE5D
IGCHE10D
IGCHE20M
IGCHE30D
IGTWNM
IGTHAM
IGTTOM
IGTUNM
IGGBR1D
IGGBR3D
IGGBR3D
IGGBR5D
IGGBR10D
IGGBRBD
United
United
United
United
United
United
United
United
United
United
United
Kingdom
Kingdom
Kingdom
States
States
States
States
States
States
States
States
United States
United States
United States
World
Venezuela
Zambia
01/193301/170001/198512/194012/194012/192512/192504/194101/180001/199601/195001/198701/199605/195308/199701/198401/198409/1998-
02/11/1992- 20 year PNY
Consols
Indexed
07/17/1959- 02/01/1962- 1 year
06/01/1976- 2 years
02/01/1962- 3 years
12/20/1940- 02/01/1962- 5 years
07/01/1969- 7 years
02/01/1962- 10 years
15 years
01/03/196210/01/1993- 20 years
25 years
02/15/1977- 30 years
Indexed
3 years
5 years
2 years
IGGBR20D
IGGBRCM
IGGBRIM
IGUSA1D
IGUSA2D
IGUSA3D
IGUSA5D
IGUSA7D
IGUSA10D
IGUSA15M
IGUSA20W
IGUSA25M
IGUSA30D
IGUSAIM
IGOECD3M
IGVENM
IGZMBM
The series below are government bond yield indices for the United States as
calculated by Standard and Poors Corporation:
US
US
US
US
US
US
Intermediate Taxable (6-9 years)
Long-Term Taxable (20+ years)
Short-Term Taxable (3-4 years)
Inter. Tax-exempt
01/1919Long Tax-exempt
01/1919Short Tax-exempt
06/1919-
01/07/194201/07/194201/07/194201/05/1938-12/31/1947
01/05/1938-12/31/1947
01/05/1938-12/31/1947
SPBUSGIW
SPBUSGLW
SPBUSGSW
SPBUSITW
SPBUSLTW
SPBUSSTW
Standard and Poor’s has also calculated price indices for bonds. In
each case, they assume a constant yield and maturity for all of the
bonds, then calculate the price index based upon those assumptions. For
the taxable government bonds, the price indices assumed an interest rate
of 3% through 1979, and 8% thereafter. The following price indices for
bonds are included
Bonds
US Inter. Tax-exempt
US Long Tax-exempt
US Short Tax-exempt
US Municipal Bonds
US Intermediate Bonds
US Long-term Bonds
US Short-term Bonds
Begins
01/1919
01/1919
06/1919
01/1900
Ends
01/05/193801/05/193801/05/193801/03/192901/07/194201/07/194201/07/1942-
Yield/Maturity
3%, 7.5 Years
3%, 15 Years
3%, 3.5 Years
3.75%, 20 Years
3%, 8%, 7.5 Years
3%,8.5%, 15 Years
3%, 8%, 3.5 Years
File
SPBEITIW
SPBELTIW
SPBESTIW
SPBIMUNW
SPBTITIW
SPBTLTIW
SPBTSTIW
The following Municipal Bond yield series are also provided for the
United States:
Moody’s 7-day VMIG
Moody’s 10-Year AAA
Moody’s 10-Year AA
Moody’s 20-Year AAA
Moody’s 20-Year AA
Moody’s 20-Year A
Moody’s 20-Year BAA
Moody’s 20-Year Comp
S&P Muni Composite
01/195001/195001/193701/193701/193701/193701/192801/1900-
09/11/198712/07/197912/07/197901/02/194801/02/194801/02/194801/02/194801/18/192901/03/1929-
MOVMIGW
MOMTAAAW
MOMTAAW
MOMAAAW
MOMAAW
MOMAW
MOMBAAW
MOMUNIW
SPBMUNIW
Since the advent of Brady bonds in the early 1990s, more and more
emerging market countries have issued dollar-denominated bonds. These
come in two varieties. Brady bonds are partly or wholly backed by US
40
Treasury Bonds and are often floating rate bonds trading at LIBOR+13/16.
Global bonds are back by the sovereign governments, but rarely by any
collateral. These are more likely to pay a coupon and often trade around
200 basis points over their Brady equivalents. Since these are
denominated in dollars rather than the local currency, the interest
rates often differ significantly from government bonds issued
domestically. Although many of these bonds are recent issues and lack
long-term historical data, many of the bonds are 30-year bonds and act
as important benchmarks for financial conditions within those countries.
Brady type bonds have a “B” in the file name and global type bonds have
a “G” in the file name. The following bonds are available:
Country
Argentina Brady
Argentina 9.75%
Brazil Brady
Brazil 10.125%
Bulgaria Brady
China 7.75%
Croatia Brady
Croatia 7%
Ecuador Brady
Indonesia 7.75%
Jamaica 8%
Lebanon 8.625%
Mexico Brady
Mexico 11.5%
Morocco Brady
Nigeria Brady
Panama Brady
Panama 8.875%
Peru Brady
Philippines 8.75%
Poland Brady
Poland 7.75%
Russia 10%
Slovenia Brady
Turkey 9%
Venezuela Brady
Venezuela 9.25%
Begins
December 1996
September 1997
May 1994
June 1997
December 1996
October 1997
December 1996
April 1997
December 1996
April 1997
August 1997
December 1997
December 1996
February 1997
December 1996
December 1996
July 1997
September 1997
July 1997
March 1997
December 1996
August 1997
December 1996
April 1997
October 1997
December 1996
October 1997
Matures
March 2023
September 2027
April 2024
May 2027
July 2024
July 2006
July 2010
February 2002
February 2025
August 2006
July 2002
October 2007
December 1919
May 2026
January 2009
November 2020
July 2026
September 2027
March 2027
October 2016
October 2024
February 2017
June 2007
December 2006
September 2007
March 2020
September 2027
File Name
IGARGBM
IGARGGM
IGBRABM
IGBRAGM
IGBULBM
IGCHNGM
IGHRVBM
IGHRVGM
IGECUBM
IGIDNGM
IGJAMGM
IGLBN10M
IGMEXBM
IGMEXGM
IGMARBM
IGNGABM
IGPANBM
IGPANGM
IGPERBM
IGPHLGM
IGPOLBM
IGPOLGM
IGRUSGM
IGSVNBM
IGTURGM
IGVENBM
IGVENGM
Discontinued Series
Country
Argentina
Australia 15-year
Brazil
Canada Municipals
Chile
China
Colombia
Costa Rica
Egypt
Germany 3% Price
Germany 4% Price
Germany 7%
Germany 4% Bonds
Germany Tax Free
Germany Taxable
Germany 3-7 yrs
Greece
Guatemala
Begins
January 1859
January 1959
May 1820
January 1948
May 1820
May 1877
July 1822
June 1871
September 1862
November 1890
July 1877
01/05/1924
August 1948
August 1948
July 1955
April 1976
March 1863
December 1880
Ends
February 1960
December 1990
March 1955
December 1988
February 1956
June 1939
December 1955
March 1908
February 1957
December 1926
December 1925
12/05/1941
December 1962
December 1970
February 1976
December 1997
October 1940
July 1914
File Name
IGARGM
IGAUS15M
IGBRAM
IGCANMUM
IGCHLM
IGCHNM
IGCOLMM
IGCRICM
IGEGYM
IGDEU3PM
IGDEU4PM
IGDEUW
IGDEURMM
IGDEUTFM
IGDEUTDM
IGDEU37M
IGGRCM
IGGTMM
41
Mexico Consols
Netherland Public
Paraguay
Peru
Russia
Turkey
United States
Uruguay
Venezuela
Zimbabwe
May 1820
January 1919
January 1872
May 1820
December 1823
April 1855
January 1919
November 1871
January 1854
January 1962
London Bond Yields
Bond
Argentina External Gold 5s
Argentina Public Work 6s
Australia 5.25s, 5.5s, 5s
Austria Silver 5% Rentes
Buenos Aires 6s
Belgium 3% Consols
Brazil 4s of 1883
Canada 6s of 1884
Canada 5s of 1885
Canada 4s of 1910/1935
Canada 3.5s of 1909/34
Canada 3s of 1938
Canada Gold 5s of 1952
Cape Colony 4.5s
Cape Colony 4s
Chile 4.5s of 1895
China Hukuang RR 5s of 1951
Czechoslovakia 8s of 1951
Czechoslovakia 6s of 1960
Czech Republic
Danube 8s
France 3% Consol Price
France 3% Consol Yield
France 5%, 4.5% Consols
Germany Dawes 7s of 1924
Greece
Greece 5s of 1824/1879
Greece 5s of 1881
Greece Monopoly 4s
Hungary 5s of 1871
Hugary 7% Dawes Loan
India 5s of 1880
India 4s of 1888
India 3.5s of 1931
India 3s of 1948
Italy Rentes
Italy Maremmana RR 5s
Italy Guaranteed 6s
Japan 9s of 1870
Japan 5s
Japan 4s Sterling, 1910
Japan 6s of 1924
Mexico Silver 5% Rent of 1899
Mexico 1899 5% Bonds in NY
Netherlands 4s
Netherlands 3s
New South Wales 5s
New South Wales 4s
March 1955
April 1945
July 1914
December 1965
June 1928
June 1927
October 1996
December 1964
April 1917
August 1995
Begins
May 1888
August 1867
September 1916
March 1874
January 1859
January 1911
January 1900
August 1855
January 1860
September 1874
November 1884
March 1889
March 1916
December 1860
March 1884
January 1900
June 1911
April 1922
January 1937
November 1922
April 1865
May 1820
May 1820
May 1820
November 1924
March 1863
March 1863
November 1882
December 1887
April 1872
October 1924
December 1858
December 1874
February 1881
November 1884
January 1900
March 1863
November 1882
November 1870
January 1900
December 1900
June 1924
January 1900
January 1916
May 1820
March 1907
December 1858
September 1876
42
IGMEXCM
IGNLDPM
IGPRYM
IGPERM
IGRUSM
IGTURM
IGUSALTM
IGURYM
IGVENM
IGZWEM
Ends
December 1899
December 1888
August 1944
April 1911
May 1898
August 1946
March 1918
August 1884
May 1885
January 1925
December 1899
July 1914
December 1946
December 1899
July 1914
December 1932
December 1952
October 1953
October 1953
June 1944
December 1889
December 1949
December 1949
June 1870
August 1939
October 1940
December 1889
July 1914
November 1925
September 1889
July 1940
February 1880
August 1888
July 1940
July 1914
February 1922
March 1908
July 1914
July 1882
June 1910
November 1925
October 1939
July 1914
December 1952
June 1870
December 1917
December 1899
December 1932
File Name
IGARG5SM
IGARG6SM
IGAUS5SM
IGAUTSRM
IGBUENOM
IGBEL3CM
IGBRA4SM
IGCAN6SM
IGCAN5SM
IGCAN4SM
IGCAN35M
IGCAN3SM
IGCANY5M
IGCAP45M
IGCAP4SM
IGCHL45M
IGCHNRRM
IGCSK8SM
IGCSK6SM
IGCZEM
IGDANUBM
IGFRA3PM
IGFRA3SM
IGFRA5SM
IGDEU7DM
IGGRCM
IGGRC79M
IGGRC5SM
IGGRCM4M
IGHUN5SM
IGHUN7DM
IGIND5SM
IGIND4SM
IGIND35M
IGIND3SM
IGITARM
IGITAMRM
IGITA6SM
IGJPN9SM
IGJPN5SM
IGJPN4SM
IGJPN6SM
IGMEXSIM
IGMEXNYM
IGNLD4SM
IGNLD3SM
IGNSW5SM
IGNSW4SM
New Zealand 5s of 1891/1914
New Zealand 4s
Norway 4.5s
Norway 4s
Norway 3.5s
Poland 6% Dawes Loan 1919/20
Prussia 4%/3.5% Price
Prussia 3% Price
Quebec 5s of 1912
Quebec 4s of 1928
Queensland 6s
Queensland 4s of 1924
Russia 5s of 1822
Russia Nicholas Railroad 4s
Russia 5s of 1906
Spain 4%
Sweden 5s
Sweden 4s
Sweden 3.5s/4s
Switzerland 7-15 Year Bonds
Turkey External Tribute 4s
Turkey Unified 4s
USA Macaulay's Muni Bonds
USA 3-5 Year Tax Exempt Yield
USA 3% of 1790 Price
USA 4% of 1907 Price
USA 4% of 1925 Price
USA 6% of 1881 Price
USA Long-term
01/1800Victoria 6s
Victoria 4s, 4.5s, 5.5s
Victoria 4.5s
February 1865
December 1899
May 1881
December 1899
December 1876
December 1888
May 1881
September 1894
March 1887
March 1908
January 1925
June 1937
July 1776
December 1925
October 1890
December 1925
September 1874
December 1899
August 1894
July 1914
February 1963
December 1895
March 1874
December 1917
May 1820
July 1914
April 1868
July 1927
June 1906
June 1928
January 1900
October 1926
June 1868
June 1883
October 1878
July 1914
August 1901
June 1919
January 1990
June 2000
January 1900
July 1914
December 1903
June 1927
01/1857-03/1914
08/31/1932-12/26/1941
November 1795
December 1820
July 1877
June 1907
February 1895
December 1918
February 1861
December 1881
01/06/1934- 07/31/1972-06/30/2000
December 1858
December 1890
April 1876
December 1928
June 1879
December 1903
IGNZL5SM
IGNZL4SM
IGNOR45M
IGNOR4SM
IGNOR35M
IGPOL6DM
IGPRU4PM
IGPRU3PM
IGQUB5SM
IGQUB4SM
IGQUN6SM
IGQUN4SM
IGRUS5SM
IGRUS4SM
IGRUS06M
IGESP4SM
IGSWE5SM
IGSWE4SM
IGSWE35M
IGCHELTM
IGTURM
IGTUR4SM
IGUSAMMM
IGUSATEW
IGUSA90M
IGUSA07M
IGUSA4SM
IGUSA81M
IGUSALTD
IGVIC6SM
IGVIC4SM
IGVIC45M
Descriptions of Individual Data Files
Unless otherwise stated, data are monthly.
include:
Principal sources
Banker’s Magazine, London
The Economist, London
INSEE, Bulletin Mensal Statistique, Paris: INSEE (1911-40) (INSEE)
International Monetary Fund, International Financial Statistics, New
York: IMF (1948-) (IMF)
International Statistical Institute, International Abstract of Economic
Statistics, London: International Conference of Economic Services
(1919-1930) (published 1934) and 1931-1936 (published 1938)) (ISI)
Investor’s Monthly Manual, London: The Economist
League of Nations, Monthly Statistical Bulletin, Geneva: League of
Nations (1920-1946) (LoN)
League of Nations, Statistical Yearbook, Geneva: League of Nations
(1926-1944/45) (LoN)
Organization for Economic Cooperation and Development, Main Economic
Indicators, Paris: OECD (1952-) and OECD, Monthly Financial
Statistics, Paris: OECD (1960-) (OECD)
Statistisches Reichsamt, Statistisches Jahrbuch fur das Deutsche Reich,
Berlin: Statistisches Reichsamt (1920-1941/2)
United Nations, Monthly Statistical Bulletin, New York: United Nations
(1947-) (UN)
Country: Argentina
43
Dates: January 1859-February 1960
Sources: The Economist (1859-1930), League of Nations (1931-45), UN, IMF
(1946-60)
Notes: The Buenos Aires 6s are used from 1859 through July 1867, the
Argentina Public Work 6s from August 1867 through April 1888, and the
Argentina External Gold 5s of 1886-1887 through June 1928. Interest
rates are for the 4% Recission bonds from July 1928 until October
1941 and 5% bonds starting in November 1941. Series A-G Conversion
Loans of 1946 are quoted beginning in 1946.
Country: Australia
Begins: December 1858
Sources: The Economist (1858-1931), D. McL. Lamberton, "Security Prices
and Yields, Part III," Sydney Stock Exchange Official Gazette,
December 15, 1958, p. 556 (1875-1925), League of Nations (1926-45),
New South Wales Statistical Register (1946-1956), Reserve Bank of
Australia, Monthly Statistical Bulletin (1956-)
Notes: Prices are based upon N.S.W. Government 5% Terminable 1874/1902
(1858-1887), N.S.W. Government 4% funded Stock 1912 option (18871900), All N.S.W. and Commonwealth Government issues maturing in more
than six months (1901-1925). For months in which no bond sales were
recorded, the previous month's price has been used to calculate the
yield. Australian prices are used from 1875 through January 1887,
1894-1925, and 1933 to date. London prices are used for 1858-1874,
1887-1893, and 1926-1932. London prices for Australian bonds include
the 5.25% bonds of 1920-22 bonds from September 1916 through
September 1920, the 5.5% bonds of 1922-1927 from October 1920 through
1926, and the 5% Registered Debt from 1927 through 1944. From August
1933 until December 1936, 4% bonds are used, and starting in January
1937, a weighted average of bonds of 10 through 1940, 12 years from
1941 to May 1959, 20 years from June 1959 through 1980, 15 years from
1981 through 1990, and 10 years since 1991 to produce the theoretical
yield on a perpetual ten-year bond, and 20 years again beginning in
June 1997.
Series are also provided for Australian notes and bonds. Series
are included for bonds with an average maturity of 2-years (less than
5-years to 1940 and 2 years through 1995 and 3-years thereafter, and
these data are annual through 1946 and monthly thereafter). There are
also series for 5-year, 10-12 years (10 years through 1940, 12-years
from 1941 to 1957, and 10-years thereafter) and 15-20 years (15-20
years through 1980 and 15 years thereafter). The figures for bond
yields were compiled by the Reserve Bank from quotations published by
the Sydney Stock Exchange; the yields are those applying before
payment of brokerage fees. The figures are based on the average of
daily yields for the week centered on the last Wednesday of the
month. Rebate bonds are used through November 1968 and were subject
to income tax at the current rate less a rebate of 10%. The current
non-rebate bonds were first issued in November 1968. An index of
yields on inflation-adjusted bonds is also included.
Data for territories of Australia are also available. For New
South Wales, the 5s maturing in 1888 and then 1914 are available from
December 1858 through December 1899, and the 4s maturing in 1905 and
after are available from September 1876 through July 1914. The New
South Wales 4.5% bonds of 1922-1927 are used from November 1915
through April 1920, the bonds of 1927-1932 which paid 5.5% are used
through February 1922, the 5.75% bonds from March 1922 through 1928,
and the 5s of 1925-35 from 1929 through 1932. For Queensland, the 6s
maturing in 1885 then 1896 are available as well as the 4s maturing
in 1915. The Queensland bonds paid 4.5% from November 1915 through
December 1917. For Victoria, the 6s of 1895, the 4s of 1901 and then
the 4s of 1924 are used through July 1914. These become the 4.5%
44
bonds of 1920-1925 through March 1920, and the 5.5% bonds of 19241934 thereafter. The 4.5% bonds of 1904 are available.
Indexed bonds were first issued by Australia in July 1985 with the
4% of 2005 (all of the inflation-indexed bonds yield 4%) and this
series is the basis for the data. A bond maturing in 2010 was issued
in February 1993, a bond maturing in 2015 in May 1994 and a bond
maturing in 2020 in October 1996.
Country: Austria
Begins: May 1824
Sources: Economist (1874-1932, 1938-1954), League of Nations (19331938), Oesterreicheschen Nationalbank, Mitteilungen des Direktoriums
der Oesterreicheschen Nationalbank, Vienna: Oesterreicheschen
Nationalbank (1957-)
Notes: The Austria Silver 4s are used from March 1874 through May 1879,
and the Austria Gold 5s are used from June 1879 through December
1915. Also included are the Danube 8s of 1865 issued for the
Intergovernmental Authority, which expanded the Danube for
international shipping. No data are available from 1916 through
August 1923. The Austrian 6s of 1923-1943 are used from September
1923 through 1932, and a series on government bonds kept by the
Institut fur Konjunkturforschung is used from 1933 through 1937. For
1938 through 1959, the 4.5% Bundesanliehe of 1930 is used. No data
are available from December 1941 through May 1945, and data are
annual from April 1954 through September 1957. The yield on Austrian
government bonds traded in Zurich is used from 1955 through 1970. An
index of all government bonds of more than one year, issued and not
redeemed, is used beginning in 1971.
Country: Belgium
Begins: June 1832 and December 1959
Sources: The Times, London (1832-1844), The Economist and Banker’s
Magazine (1845-1898), Sidney Homer, A History of Interest Rates,
Princeton: Rutgers, 1963 (1959-1910), INSEE (1911-25), League of
Nations (1926-1945), Banque National de Belge, Bulletin (1946-)
Notes: The Belgian 5% bonds are used from June 1832 to 1844, the 4.5%
bonds from 1845 through 1858, and the 3% bond from 1859 through 1938.
Data are annual for 1859 through 1884 and 1898 through 1910, but
monthly for all other years. No data are available from May through
July 1940 and from September 1944 through May 1945 due to war and
occupation. The 4% Belgian unified debt bond series begins in
January 1939. No data are available for May through July 1940.
Beginning in 1957, the series is for bonds with a maturity of 5-20
years, in 1964 for bonds issued after 1962 with a maturity of 5-20
years, from 1968 for bonds with a maturity over 5 years, and
beginning in 1994, 10-year bonds. A second series includes 2-5 year
notes from 1959 to 1964, 2-5 year notes issued after 1962 beginning
in April 1968, and 5-year notes beginning in June 1989. Series are
also included for 2-year and 3-year notes.
Country: Brazil
Begins: January 1826
Ends: March 1955
Sources: The Times, London (1823-1844), The Economist and Banker’s
Magazine (1844-1926), League of Nations (1927-45), UN, IMF (1946-55)
Notes: The 5s are used through 1886, the 4.5% Gold Bonds are used from
1887 through 1899 and the 4.5% Bonds of 1883 are used from 1900
through July 1914. The 5s of 1912 are used through May 1915 and the
Funded 5s of 1914 are used from June 1915 through 1937 using London
quotations. The consolidated 5% bond, using domestic quotations, is
used from 1938 through 1957. The 6.5% Unified Debt due in October
45
1957 is used from 1924 through 1944 when the interest was reduced to
3 3/8% and the maturity extended to October 1957.
Country: Bulgaria
Begins: January 1994
Sources: Central Bank of Bulgaria
Country: Canada
Begins: August 1855
Sources: Economist (1855-1918), International Statistical Institute
(1919-36), Commercial and Financial Chronicle (1916-1952), League of
Nations (1927-45), Bank of Canada (1919-)
Notes: The Canadian government continually lowered their interest costs
before World War I by successively issuing bonds with lower coupons.
The general series for government bond yields adds each series as
they came out so the general series will consistently show the lowest
yield and the most active issues. The complete bond series can be
consulted and their filenames are provided in parenthesis. The 6s
are used from August 1855 through 1859, the 5s from 1860 through
August 1874, and the 4s from September 1874 through October 1884.
The 4% registered stock paid 4% through March 1912 and 3.5%
thereafter; the 4.5% bonds of 1922/25 are available from November
1915 through 1918. The 3.5s are used in the general series from
November 1884 through February 1889, and the 3s from March 1889
through 1914. No data are available from August 1914 through November
1915. The 4.5% bonds of 1922-1925 are used from December 1915
through February 1916, and the 5s of 1931 (and later the Gold 5s of
1952) as quoted in New York are used from March 1916 through 1918.
Yields on Province of Ontario bonds with annual data with December
closes from 1900 through 1918, and monthly data through 1944. Series
are also available for Quebec, although these are not included in the
Canadian government bond series. The Quebec 5s of 1912 and the 4s of
1928 are available.
Domestic quotations for Canadian bonds begin in 1919. Data from
1919 to 1936 are from selected long-term bonds; data from 1936
through 1948 are for theoretical 15-year bond yields based upon
middle of the market quotations; and yields from 1949 on are for
Canadian bonds with a maturity of more than 10 years. Rates from 1949
to 1958 are arithmetic averages of yields at month end, and from 1959
yields are calculated from the last Wednesday of the month. Also
included are series for notes issued by Canada for 1-3 years, 3-5
years with annual averages and December closes used from 1936 through
1950 and monthly thereafter; and 5-10 years. Finally, bond yields as
calculated by McLeod, Young and Weir for 10 Provincials, 10 Municipal
Bonds and 10 Industrial Bonds from 1948 to 1988 are also included.
Country: Chile
Begins: July 1822
Sources: London Times (1822-1844), Banker’s Magazine and The Economist
(1844-1932), Banco Central de Chile, Boletin Mensual, Santiago (19331956)
Notes: The 6s are used through 1874, the 5s are used through 1886, and
the 4.5% bonds are used from 1887 through June 1928, the 6% loan of
1929 is used from July 1928 through July 1931, and domestic
quotations for the 7% bonds are used beginning in August 1931. Data
are quarterly for III/1931 through IV/1932. London prices for the 6%
loan are available. The Chilean discount rate on 10-year inflationadjusted bonds is also given.
Country: China
Dates: May 1877-June 1939
46
Sources: The Economist (1877-1926), League of Nations (1927-1939),
Commercial and Financial Chronicle (1911-1952)
Notes: The 8s are used from May 1877 through February 1885, the 6s of
1895 are used from November 1885 through October 1915, and the 5%
1912/1913 reorganization loan is used from November 1915 through
1939. No data are available from March through October 1885 when the
Chinese loans were reorganized and from August 1914 through October
1915. Also available are the Hukuang Railway 5s of 1951 (IHCHNRRM),
which were guaranteed by the government and were traded in New York.
No data are available for 1915. Although the theoretical yield is
given, the bonds were in default from the 1930s on.
Country: Colombia
Begins: July 1822
Sources: The Times, London (1822-1843) The Economist (1844-1908), League
of Nations (1933-45), UN, IMF (1946-55)
Notes: The Colombia 6s are used from February 1824 until April 1846. No
data are available from July 1846 through June 1874. Colombian bonds
paying 4.75% are used from July 1874 through March 1908. No data are
available from April 1881 through July 1884, and from April 1908
through November 1933. The 7% Colombian bonds are used from 1933
through 1940, and the 6% Colombian bonds are used from 1941 through
1955. No data are available from 1956 through 1996. The current 7year bonds are set at a spread over the inflation rate. The yield on
1-year bonds is also provided.
Country: Costa Rica
Dates: June 1871-March 1908
Sources: The Economist (1871-1908)
Notes: The Costa Rica “A” bonds paid 6% through September 1886, 5%
through March 1899, and 3% thereafter.
Country: Czechoslovakia
Dates: November 1922Sources: International Statistical Institute (1922-36), League of
Nations (1937-1944), UN, IMF (1945-1953), Commercial and Financial
Chronicle (1922-1952)
Notes: This series is based upon an index of 5.5% bonds and 4.5% bonds
until 1935 and 5% and 4% bonds from 1936 until 1940. After 1940,
4.5% 1938/87 bonds for "Bohemia and Moravia" (the German term for the
non-Sudetenland portions of Czechoslovakia) are used. No data are
available from October 1938 until December 1939. Also available are
the yields on the 6% Czech bonds of 1960 as traded in London. Data
are annual from 1937 through 1946 and monthly thereafter. Also
available are the Czechoslovakia 8s of 1951 as traded in New York.
Country: Denmark
Begins: July 1822 and December 1977
Sources: London Times (1822-1844), Banker’s Magazine and The Economist
(1845-1858), Statistiske Department, Statistisk Arbog, Copenhagen:
Statistiske Dept. (1864-31), League of Nations (1932-45), Danmarks
Bank, Monetary Review (1946-)
Notes: The 5s are used from January 1824 through August 1825 and from
June 1852 through September 1858. The 3s are used from September
1825 through May 1852. The Consolidated 4s are used from 1865 through
1894 when they were converted into 3 1/2% consols in 1895. No quotes
are available from October 1858 through 1863. Data are quarterly from
1864 through 1877. The consolidated bond is used through 1976. In
1977, the 10-year bond is used. A second series for the 5-year bond
begins in December 1977. The series for Mortgage bonds uses Kobenhavn
Hypotheken 5% Bonds of 1930 through 1949, Jydsk. Hypotheken 5% Bonds
47
of 1948 through 1956 and an index of mortgage bonds thereafter. No
data are available from November 1953 to February 1997. The 5-year
bond is currently used.
Country: Egypt
Dates: September 1862-February 1957
Sources: The Economist (1862-1920), League of Nations (1928-1945), UN
(1946-1957)
Notes: The Unified Stock had a coupon rate of 7% through March 1877, 6%
through June 1882, and 4% from July 1883 until 1931 as quoted in
London. The domestic 3.5% bond is used from 1932 until 1943, and the
3.25% bond from 1944 until 1957.
Country: Europe
Dates: January 1989Sources: Eurostat (1989-)
Notes: The data for 5-year bonds uses the average of 3-7 year bonds from
1989 to 1993, and the series for 10-year bonds uses the average of 715 year bonds from 1989 to 1993. Data for benchmark, constant
maturity bonds begin in June 1993.
Country: Finland
Begins: August 1910
Sources: Economist (1910-1917), Commercial and Financial Chronicle
(1924-1952), IMF (1948-1953), Bank of Finland, Monthly Bulletin
(1960-)
Notes: The 4.5% Grand Duchy of Finland Railroad Bonds are used from 1910
through 1917. No data are available from February 1915 through
October 1915, and from 1918 through February 1924. The Finland 6s of
1945 as quoted in New York are used through 1945, the Helsingfors
6.5% municipal bonds of 1960 are used for 1946 through 1948, and the
Finland 5s of 1961 are used through 1953. No data are available from
November 1953 through 1959. The current series covers central
government taxable bonds of more than five years. Data are annual for
1960 through 1965, and quarterly from 1966 until 1971. A second
series for 10-year bonds is also included.
Country: France
Begins: January 1800, January 1984 and January 1987
Sources: The Times, London (1822-1844), The Banker’s Magazine, London
(1845-1865), Investor’s Monthly Manual, London: The Economist (18661873), L’Economiste Francais (1874-1897); Jean Dessirer, "Le
Prevision statistique des Mouvements des Valeurs de Bourse," Journal
de la Societe Statistique de Paris, (May 1928): 160-192, (1898-1911)
as collected from Reforme Economique; Institut National de la
Statistique et des Etudes Economiques, Annuaire Statistique de la
France, Paris: INSEE and INSEE, Bulletin Mensal Statistique, Paris:
INSEE (1800-)
Notes: The 5% consol is used from 1800 until January 1826, and the 3%
consol is used from February 1826 through 1949. Data are annual from
1800 through 1823, April 1833 until December 1837, from July 1846
until June 1847, and quarterly from 1838 through 1842. Data are
averages of monthly high and low quotations for 1874 through 1897.
The 5% consols issued in 1949 are used from 1950 until 1971, and an
index of public and semi-public bond yields for issues guaranteed by
the government is used beginning in 1972. Yields for the French 3s
and the French 5s can be found in their respective files. The 5s are
used from February 1826 through April 1852 and the 4 1/2s are used
beginning in May 1852. Data are annual from April 1833 until
February 1843 for both the 3s and the 5s. Data are annual from July
48
1846 until June 1847 for the 3s, and from July 1846 until September
1847 for the 5s. A second file provides the actual price for the
French 3% Rentes with high-low-average from 1895 to July 1914 and
from 1919 to 1926.
Country: Germany
Begins: January 1815
Sources: Sydney Homer, A History of Interest Rates, Princeton: Rutgers,
1963 (1815-1869), Institut fur Konjunkturforschung,
Viertilsjahrshefte Zur Konjunkturforschung, Sosderkeft 36, pp. 98-99
(1870-1913), Volkwirtschaftliche Chronik (1876-1923), Statistisches
Reichsamt and Statistisches Reichsamt, Wirtschaft und Statistik,
Berlin (1917-1943), Bayerischen Statistichen Landesamt, Bayern in
Zahlen, Munchen: Bayerisches Statistisches Landesamt (1946-1947),
Statistisches Bundesamt, Wirtschaft und Statistik and Bundesbank
(1948-55), Deutsche Bundesbank, Monthly Report (1956-)
Notes: The Prussian State 4s are used from 1815 through 1841, the
Bavarian 3.5s from 1842 through 1869, and German consols (yielding
4%, then 3.5%, then 3%) from 1870 on. Data are annual through 1869
and monthly thereafter, except for July 1822 through March 1826, when
the data are monthly. No data are available for 1915, and data are
annual for 1916 through 1918. In 1923, the hyperinflation made the
yield on the bonds virtually meaningless. The 5% mortgage bonds are
used from 1924 until 1927, and the 6% mortgage bonds from 1928 until
March 1935. No data are available for the 6s when the stock market
was closed in 1931/1932, so the yields for miscellaneous bonds are
used from October 1931 until March 1932. No datum is available for
August 1931 because the stock market was closed from July 11 to
September 16, 1931. The 4 1/2% conversion bonds are used starting in
April 1935 and continue until October 1943. The yield for 4 1/2%
bonds in the Western zone is used for 1946 and 1947. No data are
available for January through July 1948. The 5% tax-free bonds are
used from August 1948 until December 1955, and the series for fully
taxed 6% government bonds are used beginning in May of 1956. The
current series uses 7-15 year public sector bonds.
Also included for Germany are the 7% Dawes Loan of 1924, which
provides London interest rates on German securities, and the mortgage
bond series which begins in July 1955. Series with actual prices for
German and Prussian bonds, providing monthly high-low-average with
the exception of August 1914 through 1918 are also provided. Data
are provided for the German 4% Consols (which were converted to 3.5%
consols in 1897), German 3.5%/3% Consols. Data are also provided for
Prussian 4% Consols, Prussian 3.5%/3% Consols. These bonds are
interesting for their behavior during the hyperinflation of 19231924. Weekly government bond yields from 1924 through 1941 are
provided. Data on German notes (3-7 years) can be found, and data on
1-year through 10-year notes with annual data from 1976 through 1985
and monthly thereafter are also included. Finally, a series for
industrial bonds from 1960 through 1991 is provided, though no data
are available for 1975 through 1982.
Country: Greece
Begins: March 1863
Ends: October 1940
Sources: The Economist (1863-1926), League of Nations (1927-1940)
Notes: The Greek 5s of 1824 are available from March 1863 through May
1880. No data are available from June 1880 through January 1881 when
the Greek loans were reorganized. The Greek Independence 5s of 1879
are used from February 1881 through December 1889. Two other series
are available for the pre-World War I period. The Greek 5s of 1881
are available from November 1882 through July 1914. The Greek
49
Monopoly 4s are replaced by the 4s of 1884 in March 1922 and are
available through November 1925. Yields for the two series are based
upon coupons of 5% and 4% respectively; however, the 5s were paid at
32% of face value and the 4s were paid at 43% of face value
generating a true coupon of about 1.6% from 1907 through 1914. The
general series uses the 5s of 1824/1879 through November 1887, the 4%
Monopoly series from December 1887 through November 1924, and the 7%
1924 Refugee Loan from December 1924 through 1940. No data are
available from May 1932 through February 1933 when the stock market
was closed in Greece due to the financial crisis.
Country: Guatemala
Begins: December 1880-July 1914
Sources: The Economist (1880-1914)
Notes: The Guatemala 5s of 1856 are used through October 1888, and the
4% bonds are used from November 1888 through July 1914.
Country: Hong Kong
Begins: May 1995
Sources: Hong Kong Monetary Authority
Country: Hungary
Begins: April 1872-July 1944, January 1998Sources: The Economist (1872-1926), League of Nations (1927-44)
Notes: The 5s are used from April 1872 through May 1881, and the 4% Gold
Bonds are used from February 1882 through July 1914. No data are
available from February 1915 through September 1924. London
quotations for the 7.5% loan of 1924 are used from October 1924
through May 1928, and domestic quotations for the 1924 5% forced loan
for Hungary are provided from June 1928 until July 1944. A new series
for bonds begins in January 1998.
Country: Iceland
Begins: January 1980
Sources: Central Bank of Iceland, Quarterly Bulletin (1980-)
Notes: Series are provided for non-indexed 5-year notes, indexed 5-year
notes and indexed 25-year Housing Bonds.
Country: India
Begins: January 1800
Sources: Larry Neal, The Rise of Financial Capitalism: International
Capital Markets in the Age of Reason, New York: Cambridge Univ.
Press, 1990 (1800-1823), The Times, London (1824-1844), Banker’s
Magazine and The Economist (1845-1920), India National Bank, Monetary
Statistics (1897-1933), League of Nations (1934-45), Reserve Bank of
India, Monthly Bulletin (1946-85)
Notes: The Yield on East Indies Stock (10.5%) is used from 1800 through
1861, the 5s of 1880 are used from 1862 through November 1874, the 4s
of 1888 from December 1874 through January 1881, and the 3.5s of 1931
as quoted in London are used from February 1881 through 1896 (though
no quotes are available from December 1915 through July 1916).
Domestic Indian quotations for the 3% government bond are used from
1897 through 1933. The 4% state loan due in 1960-1970 is used from
1934 until 1942, the 3% loan due in 1966-1968 is used from 1943 until
1954, and the 3% conversion loan of 1945-46 callable after 1986 is
used starting in 1955.
Country: Ireland
Begins: January 1931
50
Sources: Commercial and Financial Chronicle (1928-1952), International
Statistical Institute (1931-1936), Central Bank of Ireland, Quarterly
Bulletin (1947-)
Notes: The Ireland 5s from the 2nd National Loan due in 1950 is used
from 1928 through 1953. Data are annual from June 1950 through 1952,
quarterly from I/53 until II/54 and monthly in all other periods.
The 3.5% exchequer bonds of 1950-51 maturing in 1970 are used from
1951 until 1970, and an index of 15-year government bonds is used
from 1971 to 1980 when 10-year bonds are used.
Country: Israel
Begins: January 1995
Sources: Central Bureau of Statistics, Monthly Bulletin (1995-)
Notes: The series is for inflation-indexed bonds.
Country: Italy
Begins: March 1863
Sources: The Economist (1863-1914), La Riforma Sociale (1900-1923),
League of Nations (1924-45), Banca d’Italia, Bolletino (1946-)
Notes: All quotations for the 1800s are from London. Three series are
provided. The Italian 5% Rentes with coupons payable abroad are used,
with the Rentes paying 5% used through June 1906, and the 3.5% Rentes
beginning in January 1908 (No data are available between July 1906
and December 1907 for the Rente). Also included are Bonds for the
Maremmana Railway, which were guaranteed by the Italian government
and paid for a railroad between Livorno and the French/Italian
border, and the Irredeemable Guaranteed 6s. The Italian irredeemable
guaranteed bonds paid 5% through March 1877, and 6% thereafter, and
can be found in IHITA6SM. The Italian Rentes with coupons payable
abroad had a coupon of 5% through June 1906, no data are available
for July 1906 through 1907, a coupon of 3.75% from 1908 through June
1912 and 3.5% thereafter. Domestic Italian quotations are used for
the 1900s. The 3.5% consol is used from 1900 until 1953, and the 5%
reconstruction loan of 1978 is used beginning in 1954. Data are
annual for 1900 through 1902. An index of government treasury bonds
begins in 1955. The average maturity of these bonds is six years. A
second index of government treasury notes begins in 1947 for which
data are annual for 1947 through 1949 and monthly beginning in
December 1949. Also available are yields in London.
Country: Jamaica
Begins: May 1961
Sources: Bank of Jamaica, Statistical Digest (1961-)
Country: Japan
Begins: November 1870
Sources: The Economist (1870-1914), Bank of Japan, Annual Economic
Statistics, Tokyo: Bank of Japan (1914-1926), Tokyo Chamber of
Commerce and Industry, Monthly Report on Current Economic Conditions,
Tokyo: Tokyo C of C&I (1927-36), Tokyo Stock Exchange Tokyo Kabushiki
Torihikijo Tokei Geppo (The Monthly Statistical Report of the Tokyo
Stock Exchange), Tokyo (1930-43) Japan Statistical Yearbook, Sorifu:
Tokeikyoku (1944-46), Industrial and Commercial Semi-Annual Report
(1948-57), Bank of Japan, Economic Statistics Monthly (1969-)
Notes: The Japanese 9s issued in 1870 are used from November 1870
through May 1873, and the 7% bonds are used beginning in June 1873.
The 7s were converted into 5% bonds in 1898. The 5% Japanese bond is
used through November 1900, the 4% Japanese sterling bond is used
from December 1900 through November 1914. Pre-1914 data are from
London, and beginning in December 1914, data are for yields in Tokyo.
51
Also available are the Japanese 6s of 1924 as quoted in London from
1924 through 1937. Tokyo quotes for the 5% Japanese Bond are used
from 1914 through 1926, and an index of government bonds is used from
1927 through 1946. No data are available for August 1923 due to the
closure of the exchange after the earthquake, and no data are
available from January 1947 until November 1948. The data from 1948
until 1957 represent the yields on bonds newly issued during that
month. When no bonds were issued, the previous month's yield was
used. The series beginning in 1969 is for 7-year government bonds.
Separate series are provided for the 2-year, 5-year, 10-year and 20year bonds based upon auction rates by the Bank of Japan.
Data for the corporate bond series are taken from The Oriental
Economist from 1933 to 1944, and from the Industrial and Commercial
Semi-Annual Report from 1948 to 1957. For the period of July 1957
through December 1968, the Nippon Telephone and Telegraph Bonds have
been used since no data were available for government bonds. Data
since 1968 uses Japan’s benchmark index of corporate bonds which has
an average maturity of 12 years.
Country: Kenya
Begins: January 1987
Sources: Central Bank of Kenya, Quarterly Statistical Bulletin
Notes: The 5-year bond is used.
Country: Lebanon
Begins: October 1994
Sources: Banque de Liban, Quarterly Bulletin (1994-)
Notes: These series are for Eurobonds denominated in dollars rather than
in Lebanese pounds. The IGLBNM is for 5-year Eurobonds and the
IGLBNGM is for 10-year Eurobonds.
Country: Luxembourg
Begins: January 1970
Sources: Annuaire Statistique de Luxembourg (1946-1969), Institut
Monetaire Luxembourgeois, Bulletin Trimestriel (1970-)
Notes: Data are annual through 1969 and monthly thereafter.
Country: Malaysia
Begins: January 1961
Sources: Bank Negara, Monthly Bulletin (1961-)
Notes: Data are for the coupon on the most recent, longest-term bond
that has been issued by the Malaysian government, with an average
maturity of 12-15 years, and actual maturities varying from 6 to 21
years. Beginning in July 1993 the current yield on the 10-year bond
is used.
Country: Mexico
Begins: January 1824
Sources: The Times, London (1824-1844), Banker’s Magazine and The
Economist (1845-1932), Commercial and Financial Chronicle (19161952), IMF (1937-1955); Banco de Mexico, Economic Indicators (1956-)
Notes: The 6s are used through April 1835, the 5s are used from May 1835
through May 1852, the 3s are used from June 1852 through 1888, and
the 6s are used from 1889 through 1899. No data are available for
January through November of 1900, and the External Gold 5s of 1899
are used from December 1900 through 1932. Also available are series
for the Internal Silver 5s, and for the 5% Mexican bonds of 1899 as
quoted in New York. These bonds fell in default during the Mexican
Revolution and remained so until the Agreement of 1942 under which
the maturity was extended to January 1, 1963, a new sinking fund was
established, and bonds were callable for sinking fund only at par on
52
any new interest date. Interest and sinking fund payments were made
regularly after 1946. Because of these difficulties, the price of
the bonds rather than the yield is provided for the New York series.
The current series is for 2-year Development Bonds.
Country: Namibia
Begins: September 1991
Sources: Bank of Namibia, Quarterly Bulletin (1991-)
Country: Netherlands
Begins: January 1814
Sources: Sydney Homer, A History of Interest Rates, Princeton: Rutgers,
1963 (1814-1843) The Economist and Banker’s Magazine (1844-1918),
International Statistical Institute (1919-25), League of Nations
(1926-45), Central Bureau of Statistics, Maandschrift (1946-)
Notes: Data for the Dutch 3s are used from 1814 through June 1870, the
2.5% consol from July 1870 through July 1914 and the 3% consol from
March 1907 through 1917. Data are also available on the Dutch 4s
from April 1833 through June 1870. For the 1900s, the 2.5% consol is
used from 1900 through July 1914, and the 3% consol from November
1915 through December 1917. Data are annual from 1814 through August
1832, from July 1870 through March 1873, for 1874 and from April 1880
through July 1882. Data are monthly for all other periods. No data
are available from August 1914 through October 1915 and for 1918.
Series are also available for the Netherlands 4s from April 1833
through June 1870 and for the 3% consols from March 1907 through
December 1917. Yields on an index of public bonds are used from 1919
through 1925. (The index of 4 public bonds from 1919 until 1930 and
the index of public and industrial bonds from 1931 until April 1945
are also included). The 3% consol starts again in January 1926.
Quarterly data are used from 1931 until 1934. No data are available
from May 1940 through September 1940 and from September 1944 until
December 1945. The 2 1/2% consol is used from 1946 until 1954, the 3
1/4% issue of 1948 is used from 1955 until October 1964, and an index
of the three or five longest running issues of the Dutch government
begins in November 1964. Also included is a series for short-term
notes (5 year treasury certificates through 1979 and 3-5 years bonds
thereafter which is annual through 1971) in IGNLD3M, and medium-term
notes (two government loans of 8-9 years through 1979 and 5-8 years
thereafter with annual data through 1971) in IGNLD5M.
The series for industrial bonds is annual through 1968 and monthly
thereafter. A second series uses utility bonds through 1979 and bank
bonds since then; the series is annual through 1971 quarterly for
1972 and 1973 and monthly thereafter.
Country: New Zealand
Begins: February 1865
Sources: The Economist (1865-1932), International Statistical Institute
(1933-36), League of Nations (1937-45), Reserve Bank of New Zealand,
Bulletin (1946-)
Notes: The 5s are used from February 1865 through April 1880, the 4s
from May 1881 to October 1895 and the 3s of 1945 are available from
November 1895 through July 1914. No data are available from 1916
through January 1925. The 3.5% bonds of 1940 are used from February
1925 through June 1928, the 5s of 1946 are used from July 1928
through 1932, the 4% bond of 1952-55 is used from 1933 through 1936,
and from 1937 until 1943 the 3 1/2% bond of 1953-57 is used. The 3%
bonds of 1960-63 are used form 1944 until 1956, and an index of bonds
with 10 or more years maturity is used from 1957 through 1978, over 5
years from 1979 through 1986, and bonds with 10 years maturity are
used beginning in 1987. The 2-year file includes data on 1-5 year
53
bonds from 1955 to 1963, 6 months to 3 years from 1964 to 1978, 6
months to 2 years from 1979 to 1985 and 2 years thereafter. Data are
annual for 1955-1958, and 1982. The 5-year series includes yields on
5-10 year bonds from 1955 to 1963, 3-10 year bonds from 1964 to 1978,
2-5 year bonds from 1979 to 1985, and 5 years thereafter. Data are
annual for 1955-1958 and 1982. Yields are also provided for 1-year
and inflation indexed bonds.
Country: Norway
Begins: December 1876
Sources: The Economist (1876-1917), Statistisk Sentralbyra, Statistisk
Arbok, Oslo: Statistisk Sentralbyra and Statistisk Sentralbyra,
Statistisk Manedshefte and Statistiske Meldinger, Oslo: Statistisk
Sentralbyra (1919-)
Notes: The 4.5s are used from December 1876 through April 1881, the 4s
from May 1881 through February 1887, the 3.5s from March 1887 through
October 1893, and the 3s from November 1893 through 1918. No data
are available from February through October 1915, and from April
through June 1940. Data for 1918 is an annual average. From 1919
until 1933, an index of six 5% bonds is used, and from 1934 until
June 1940, 4 1/2% bonds are used. From July 1940 until 1943, 3.6%
bonds are used, and from 1944 until June 1946 3 1/2% bonds are used.
The yields from July 1946 until 1956 are 1% greater than the actual
yields because the government bonds paid and artificially low 2 1/2%
during this period. The 4% bond of 1955 maturing in 1975 is used
beginning in June 1956. The 5% bond of 1961-96 is used beginning in
1962, and an index of 6-10 year government bonds is used beginning in
1981. Also included is a series for 5-year Notes
Country: Pakistan
Begins: January 1949
Sources: State Bank of Pakistan, Bulletin (1949-)
Notes: From July 1970 through January 1980, the 5.75% bond maturing in
1989 is used; from February 1980 through May 1989, the 11.50% bond
maturing in 1999 is used, and beginning in June 1989, the 11.75% bond
due for redemption in 2002 is used.
Country: Paraguay
Begins: January 1872
Ends: July 1914
Sources: The Economist (1872-1914)
Notes: Paraguay’s bonds paid 8% through 1886, 3% through November 1900,
1.5% through September 1907, and 3% again beginning in October 1907.
Country: Peru
Begins: March 1844
Ends: December 1965
Sources: The Economist and Banker’s Magazine (1844-1890), Central
Reserve Bank, Bulletin (1944-65)
Notes: The 6s are used through December 1849, the 4s are used from
January 1850 through 1865, the 5s of 1865 from 1866 through May 1872,
and the 6s of 1870 from April 1872 through September 1888 when they
were converted into 7% certificates. No data are available from July
1890 through 1943. The new series is for the 6% unified debt of Peru.
Data are quarterly.
Country: Philippines
Begins: January 1988
Sources: Philippines Central Bank, Monthly Statistical Bulletin
54
Notes: All data are auction yields rather than secondary market yields.
2-year notes are auctioned monthly, and 5-year and 10-year bonds are
auctioned quarterly.
Country: Poland
Begins: July 1915
Sources: Poland Yearbook (1915-1922), League of Nations (1924-39)
Notes: Obligations of the City of Warsaw paying 6% are used from 1915
until 1922. Data are semi-annual for 1915 through 1922. The 5%
conversion loan of 1924 is used thereafter. Also available is data on
the 6% Dollar Dawes Loan of 1919/1920. A new series for bonds begins
in August 1999.
Country: Portugal
Begins: November 1823 and July 1993
Sources: The Times, London, The Economist and Banker’s Magazine (18441930), League of Nations (1931-45), Bank of Portugal, Quarterly
Bulletin (1946-)
Notes: Portuguese bonds paid 3% through October 1895, 1% from November
1895 through 1902, and 3% thereafter. No data are available for 1903,
from December 1920 to October 1922 and from July 1928 through 1930.
Data are quarterly for I/31 to I/33. The current series is for bonds
with a maturity of over 2 years.
Country: Russia
Begins: January 1823
Ends: June 1928
Sources: The Times, London (1823-1844), The Economist and Banker’s
Magazine (1844-1928), INSEE (1911-27)
Notes: The Russian 5s of 1822 are available from January 1823 through
July 1914, and the Russian 5s of 1906 are available from June 1906
through 1928. Finally, the Russian 4s are provided. This series
uses the Nicholas Railway 4s as quoted in London from April 1868
through 1910, and uses the 4% Rentes as quoted in Paris from 1911
through 1927.
Country: Singapore
Begins: January 1988
Sources: Monetary Authority of Singapore, Monthly Statistical Bulletin
Notes: The 5-year, 7-year and 10-year bonds are used.
Country: Slovak Republic
Begins: November 1994
Sources: National Bank of Slovakia (1994-)
Notes: This is the average interest rate on newly issued government
bonds.
Country: South Africa
Begins: December 1860
Sources: The Economist (1860-1926), League of Nations (1927-45), Reserve
Bank of South Africa, Quarterly Bulletin (1946-71)
Notes: Cape Colony bonds are used through October 1913 when Union of
South Africa bonds were floated on the London Stock Market. The Cape
4.5s are used from December 1860 through February 1884, and the Cape
4s from March 1884 through October 1913 (the Cape Colony 4s are
available through July 1914 in IHCAP49M), and the Union of South
Africa 4s from November 1913 through July 1914. The 4.5% Union bonds
of 1920-25 are used from December 1915 through January 1922, and the
5% Inscribed debt from February 1922 through June 1941. Beginning in
July 1941, South African quotations are used. The 3% obligations of
1951-56 begin in July 1941, and the 3% obligations of 1960-70 begin
55
in 1944. The 4 1/4% bonds of 1954, maturing in 1974 are used from
1956 until 1971. A second series for government Notes begins in
January 1960, and a third series for Eskom bonds begins in January
1953.
Country: South Korea
Begins: January 1957
Sources: Bank of Korea, Annual Economic Statistics (1957-1969), Bank of
Korea, Monthly Statistical Review, Seoul: Bank of Korea (1970-)
Notes: Data are annual for 1957 through 1960 and monthly thereafter. An
average of the yields on government bonds is used for 1957 through
1969. These data were recorded in terms of monthly yields, so the
data have been multiplied by 12. In months when no bonds were traded,
the previous month’s yield is used. The national housing loan is used
beginning in May 1973.
Country: Spain
Begins: July 1822
Sources: London Times (1822-1844), Banker’s Magazine and The Economist
(1845-1910), INSEE (1911-13), Institut Nacional de Estadistica,
Annuario Estadistica d’Espana, Madrid: INE (1914-1947), Banco
d’Espana, Bulletin Mensual, Madrid: Banco d’Espana (1948-)
Notes: The 5s are used from December 1823 through August 1836, and the
3s are used beginning in September 1836. The 3s were converted into
a 1% bond in January 1881, to 1.25% in March 1882, and were converted
into 4% bonds in August 1882. The 4% bonds are used from 1882
through 1958, using London yields through 1913 and Madrid yields
thereafter. Data are annual averages from 1934 through 1957, and no
data are available from July 1936 through February 1940 due to the
Spanish Civil War. An index of private bonds is used from 1958
through March 1978 with monthly data starting in July 1959, and an
index of government bonds with a maturity of over 2 years is used
beginning from April 1978 until March 1992. The 10-year bond is used
beginning in April 1992. The industrial bond index has no data from
1975 through 1982 and from August 1984 through September 1987.
Country: Sri Lanka
Begins: January 1951
Sources: Central Bank of Ceylon/Sri Lanka, Bulletin(1951-94)
Notes: No data are available from 1976 through June 1983 and from
September 1994 through July 1997.
Country: Sweden
Begins: January 1922
Sources: The Economist (1868-1919), International Statistical Institute
(1922-36), League of Nations (1937-45), Sveriges Riksbank, Quarterly
Review (1946-)
Notes: The Swedish 5s are used from June 1868 through September 1878,
the 4s from October 1878 through October 1894, and the 3s from
November 1894 through July 1914. No data are available from February
through October 1915. Swedish bonds paying 4% through 1917, and 3.5%
thereafter are used from November 1915 through June 1919. No data
are available from July 1919 through 1921. In 1922, domestic
quotations begin. From 1922 until 1929, an average of 7 government
loans is used, and from January 1930 until July 1934, an average of 6
government loans is used. From August 1934 until October 1937, the
3% loan of 1888 is used, and beginning in November 1937, the 3%
consol of 1934 is used. Currently, 10-year government bonds are
used. Also included are series for 3-year government notes and 5-year
56
government bonds. Data for the industrial bond series is annual for
1935-1947, 1953-1974 and 1982, and monthly for all other years.
Country: Switzerland
Begins: January 1915
Sources: Statistischen Bureau, Statistisches Jahrbuch der Schweiz, Bern:
Verlag des Ar. Institut Orell Fussli (1915-1955), Schweizerisches
Nationalbank, Monatsbericht, Zurich (1956-)
Notes: Two series are provided. The first is for 12 state and federal
railway bonds. This index goes from 1915 until 1937. A second index
of 12 Swiss Confederacy Bonds begins in 1925.
Country: Taiwan
Begins: July 1995
Sources: Central Bank of Taiwan
Notes: Data are for the average of yields on treasury bond auctions.
Country: Thailand
Begins: December 1979
Sources: Bank of Thailand, Monthly Bulletin (1979-)
Notes: Because of persistent budget surpluses, the Thai government has
not issued any new government securities in a number of years.
Country: Tunisia
Begins: January 1991
Sources: Central Bank of Tunisia
Notes: The 5-year bond is used.
Country: Turkey
Begins: April 1855
Ends: June 1927
Sources: The Economist (1855-1920), INSEE (1911-27)
Notes: The Turkey 6s of 1854 are used from April 1855 through October
1877, and the Turkey External Tribute Bonds paying 4.25% are used
from November 1877 through July 1914, and yields on the Unified 4%
Bonds are available from 1906 through 1927.
Country: United Kingdom
Begins: July 1700
Sources: Larry Neal, The Rise of Financial Capitalism: International
Capital Markets in the Age of Reason, New York: Cambridge Univ.
Press, 1990 (1700-1823), The Times (London), (1824-1844), Banker's
Magazine (1844-1852), Central Statistical Office, Annual Abstract of
Statistics, London: CSO (1853-) and the Financial Times.
Notes: Several sources are used for the yield on British government
securities. From July 1700 until June 1729, the dividend yield on
Million Bank stock is used, assuming a dividend of 6% through 1716,
and 5% from 1717 through 1729. This is used because the Million Bank
had been taken over by the government and the bank acted as a mutual
fund that owned a large portion of government paper. It provides the
best proxy for a risk-free government bond during that period,
according to Larry Neal. From July 1729 through July 1753, the 3%
annuities' yield is used, and from August 1753 on, the British consol
is used. The British consol paid 3% from August 1753 until December
1888, 2 3/4% from 1889 through 1906, and 2 1/2% beginning in 1907.
The actual price for the annuities/consols is provided in IGGBRCPM.
Series for notes and bonds are also included. A series for 4-5
year notes issued by the British government is quarterly from 1937
through III/1947 and monthly thereafter. This series used the 5%
Conversion Loan, 1944-64 from 1935 to 1938; 2.5% National War Bonds
57
1952-54 from 1947 to 1949; and Exchequer stock and Treasury stock of
4-5 years maturity thereafter. A series for 10-year bonds is also
included begins in 1958. The series for 10-year bonds uses the 3.5%
War Loan of 1932 (callable in 1952) from 1933 through 1946, 3%
Savings Bonds 1960-70 in 1947; 2.5% Savings Bonds 1964-67 in 1948 to
1950; 3% Savings Bonds 1965-75 from 1951 to 1958, and 3.5% Treasury
Stock 1979-1981 from 1959.
Country: United States
Begins: January 1800
Sources: Sydney Homer, A History of Interest Rates, Princeton: Rutgers,
1963 from Joseph G. Martin, Martin's Boston Stock Market, Boston:
1886 (1800-1862), Hunt’s Merchants Magazine (1843-1853), The
Economist (1854-1861), The Financial Review (1862-1918), Federal
Reserve Bank, National Monetary Statistics, New York: FRB, 1941, 1970
(annually thereafter); and Salomon Brothers, Analytical Record of
Yields and Yield Spreads, New York: Saloman Brothers, 1995
Notes: The long-term history for US Bonds is placed in the IGUSA10M
file. For this file, current yields on the 6s of 1790 are used from
1800 through 1822, on the 6s of 1814-1827 are used from 1823 until
1829, and the 5s of 1821-1835 are used from 1830 to 1834. The
Federal government completely paid off its debt in the 1830s, so the
Boston City 5s are used from 1835 through 1841. The 6s of 1842-1863
are used from 1841 through 1845, and the 6s of 1848-1868 from 1846 to
1862. Data are taken from Hunt’s Merchant’s Magazine and are periodic
with the previous month’s quotation used where none is available for
1843, 1844 and 1846 through June 1848. Data are monthly from July
1848 through 1853 using NYSE quotations. Data for 1854 through 1857
are taken from The Economist with NYSE quotations used for 1854 and
1855, and London quotations for 1856 and 1857. The United States
yield data are monthly from February 1862 until December 1933, and
weekly thereafter. The annual data are taken from Joseph G. Martin,
Martin's Boston Stock Market, Boston: 1886. From February 1862 until
December 1877, the 6% U.S. Government bonds of 1881 are used. From
January 1878 until January 1895, the 4% U.S. Government Bonds of 1907
are used, and from February 1895 until September 1917, the 4% U.S.
Government Bonds of 1925 are used. Where no trades were recorded
during a given month, the previous month's yield was used. The
source for this data is William B. Dana Co., The Financial Review,
New York: William B. Dana Co. (1872-1921) which reprinted data
published by The Commercial and Financial Chronicle. The 4% Liberty
Bonds are used from October 1917 through December 1918, and beginning
in 1919, the Federal Reserve Board's 10-15 year Treasury Bond index
is used. Separate files for 1, 2, 3, 5, 7, 10, 20 and 30-year bonds
are also included, as well as data for inflation-indexed bonds
(IGUSAIM).
Also included in the file are volume data, which represent the
volume for bonds traded on the New York Stock Exchange. Data are
taken from The New York Times, 1898-1938, from the New York Stock
Exchange Bulletin, and from the Bank and Quotation Journal. 1889-1897
data were taken from the New York Times, which published historical
and current data beginning in 1905.
The data series for corporate yields uses high-grade railroad
bonds from 1857 through 1899 as found in F. R. Macaulay, The
Movements of Interest Rates, Bond Yield, and Stock Prices in the
United States since 1856, New York: National Bureau of Economic
Research, 1938. From 1900 on, Moody’s index of yields on AAA
Corporate bonds is used.
The 5-year Treasury Note Index includes the old 3-5 year Treasury
Note index which the Federal Reserve Bank kept from December 20, 1940
58
through December 31, 1975. The 30-year Treasury Bond Index is
monthly from February 1862 until December 1933, and weekly
thereafter. It is a combination of several indices. From February
1861 until December 1877, the 6% U.S. Government bonds of 1881 are
used. From January 1878 until January 1895, the 4% U.S. Government
Bonds of 1907 are used, and from February 1895 until December 1918,
the 4% U.S. Government Bonds of 1925 were used. Where no trades were
recorded during a given month, the previous month's yield was used.
The source for this data is William B. Dana Co., The Financial
Review, New York: William B. Dana Co. (1872-1921) which reprinted
data published by The Commercial and Financial Chronicle. Beginning
in 1919, the Federal Reserve Board's 10-15 year Treasury Bond index
is used. This is used through 1975. In 1976, the 20-year Bond is
used, and beginning on February 26, 1977, the 30-year bond is used.
Data for 1872 through 1918 are taken from the Financial Review.
The interest rate series dating back to 1919 are taken from the
Federal Reserve, National Monetary Statistics, New York: Federal
Reserve Board which was published in 1941, 1970 and annually since
then. The Commercial Paper data for 1835 through 1871 are taken from
Walter B. Smith and Arthur H. Cole, Fluctuations in American
Business, Cambridge: Harvard Univ. Press, 1935, and the Broker Call
money data are taken from F. R. Macaulay, The Movements of Interest
Rates, Bond Yield, and Stock Prices in the United States since 1856,
New York: National Bureau of Economic Research, 1938.
Monthly data for the Treasury Bills, Notes and Bonds from 1940
through 1976 are estimates of zero-coupon yields for the bills and
estimates of par-value bonds for the notes and bonds, with the
exception of the 3-year and 10-year series that use Federal Reserve
data from April 1953 through 1961. The estimates are taken from
Thomas S. Coleman, Lawrence Fisher and Roger G. Ibbotson, U.S.
Treasury yield Curves, 1926-1988.
Country: Uruguay
Begins: November 1871
Ends: December 1964
Sources: The Economist (1871-1917), League of Nations (1927-1945), IMF
(1946-64)
Notes: Uruguay bonds yielded 6% through 1884, 5% from 1885 through
February 1893, and 3.5% thereafter. Yields are based upon London
prices through October 1933, and on domestic bond prices from
November 1933 until 1964. No data are available from April 1918
through 1926.
Country: Venezuela
Begins: January 1854-April 1917, January 1984
Sources: The Economist (1854-1917), Banco Central de Venezuela, Monthly
Bulletin (1984-)
Notes: The Venezuela 3s are used from January 1854 through April 1917.
No data are available from 1917 through 1983. A series of domestic
bond yields begins in 1984.
Country: Zambia
Begins: September 1998
Sources: Lusaka Stock Exchange
Country: Zimbabwe/Rhodesia
Dates: January 1962-August 1995
Sources: Reserve Bank of Zimbabwe, Quarterly Economic and Statistical
Review (1962-)
59
Notes: Data are annual for 1962 through August 1967 and monthly
thereafter.
60
CORPORATE BOND YIELDS
The following countries have series for industrial and mortgage
bonds. For information on the data series, see the listings under
Government Bonds. Weekly bond series are taken from The Economist.
Country
Australia
Australia
Australia
Australia
Australia
Austria
Belgium
Canada
Canada
Canada
Denmark
Denmark
Denmark
Denmark
France
Germany
Germany
Iceland
Italy
Japan
Japan
South Korea
South Korea
South Korea
Netherlands
Netherlands
Norway
Norway
Norway
South Africa
Spain
Sweden
Switzerland
Switzerland
Switzerland
Switzerland
United Kingdom
Monthly
06/1983
07/1969
Daily/Week Bond Type
12/15/1983- Industrial Bonds
Debentures 2 Year
07/01/1997- AAA Corporates
07/01/1997- AA Corporates
07/01/1997- A Corporates
11/196410/01/1998- Non-Bank Corp.
01/196012/15/1983- Industrial
12/15/1983- Industrial
01/03/1990- MT Industrial
01/194801/03/1990- LT Industrial
01/198810-year Bonds
01/193920-year Bonds
01/198812/22/1997- 30-year Bonds
01/12/1994Corporate Bonds
01/1959Private Bonds
01/1960Industrial Bonds
07/195507/03/1978- Mortgage Bonds
05/1999Industrial Index
01/196012/15/1983- Industrial Bonds
08/195503/1983
Nippon Telephone
03/197312/15/1983- Corporate Bonds
01/197211/02/1998- 3-year Bonds
01/1987AA- Corporates
10/2000BB- Corporates
01/196601/03/1990- Utility/Bank
01/196301/02/198101/198701/03/1990- Industrial Mort.
01/04/1993- 3-year Corporates
01/04/1993- 5-year Corporates
06/198301/04/1993- 10-year Corporate
01/1953Eskom Company
01/1958Electric Utility
01/193512/08/1983- Industrial Bonds
01/1982Bank Bonds
05/08/2000- AAA 7-10 Years
05/08/2000- AA 7-10 Years
05/08/2000- A 5-7 Years
12/192909/28/2001- FTA Debentures
61
File Name
INAUSW
INAUS2M
INAUSA3D
INAUSAAD
INAUSAD
INAUTD
INBELW
INCANEW
INCANMTW
INCANLTW
INDNK10M
INDNK20M
INDNK30D
INDENKED
INFRAM
INDEUM
INDEUMD
INISLIM
INITAW
INJPNTTM
INJPNM
INKORD
INKORAAM
INKORBBM
_CBSPD
_CBSUD
INNOR3D
INNOR5D
INNOR10D
INZAFM
INESPM
INSWEW
INCHEM
_ZD3A7YD
_ZDAA7YD
_ZDA5YD
INGBRM
United States Moody's Bond Indices
Moody's keeps a number of long-term bond indices. The composite
indices are available back to 1919 for corporate bonds and 1948 for
Municipal bonds. Data were taken from the Commercial and Financial
Chronicle from 1930 until 1940, and from the Federal Reserve, National
Monetary Statistics, New York: Federal Reserve Board, 1941, 1970 and
annually thereafter, or from weekly editions of Moody’s Bond Survey
which has been recently renamed Moody’s Credit Survey. Yield data on
Industrial and utility bonds of different ratings are available
beginning in 1980. All data are expressed in terms of yields. The
Corporate AAA Bond data have been extended backward by including
Macaulay's Bond Yield from 1857 to 1918. The Moody’s Municipal Composite
uses the Dow Jones 20-year Municipal Bond Yield index from 1928 through
1947.
The Rails indices provide average monthly yields of approximately 20
long-term railroad bonds (4 Aa, 5 A and 4 Baa). Prior to 1928, 20 bonds
were used. All yields were calculated to maturity dates and the list of
bonds was adjusted when required to reflect rating changes or other
reasons so that each of the series was comparable throughout the entire
period. The Rail AAA index was discontinued on December 18, 1967, and
all rail averages were discontinued on July 17, 1989 because of
insufficient frequently tradable bonds. The index for new Rail capital
is annual from 1860 through 1920, quarterly from 1921 to 1941, and
annual from 1941 through 1958.
The Moody’s Utilities Preferred AA Series includes Moody’s Preferred
Stocks, Low Dividend Series, High Grade Public Utilities series from
January 1946 through June 1975, and Moody’s Utilities Preferred BAA
series includes Moody’s Referred Stocks, Low Dividend Series, Medium
Grade Public Utilities from January 1946 through June 1975. The number
of bonds currently included in each index is given in parentheses. For
the exact components, see the January issue of Standard and Poor’s
Credit Survey.
Sector
Corporate Composite
Corporate AAA (12)
Corporate AA (24)
Corporate A (38)
Corporate BAA (23)
Corporate New Capital
Foreign Bonds Weekly
Industrials Composite
Industrials AAA (5)
Industrials AA (13)
Industrials A (20)
Industrials BAA (12)
Utilities Composite(47)
Utilities AAA (7)
Utilities AA (11)
Utilities A (18)
Utilities BAA (11)
Monthly
01/191901/185701/191901/191901/191901/1921-
Rails Composite
Railroads AAA
Railroads AA
Railroads A
Railroads BAA
Rails New Capital
01/191902/08/1930-07/14/1989
01/1919-12/1967
01/1919-07/1989
01/1919-07/1989
01/1919-07/1989
01/1860-12/1958
01/191901/191901/191901/191901/191901/191901/191901/191901/191901/1919-
Weekly
02/08/193002/08/193002/08/193002/08/193002/08/1930-
Daily
01/03/198301/03/198301/03/198301/03/198301/03/1983-
02/08/1930-12/31/1936
02/08/1930- 01/03/198301/04/1980- 01/03/198301/04/1980- 01/03/198301/04/1980- 01/03/198301/04/1980- 01/03/198302/08/1930- 01/03/198301/04/1980 01/03/198301/04/1980- 01/03/198301/04/1980- 01/03/198301/04/1980- 01/03/1983-
Preferred Low Dividend
01/1947-12/1975
62
File Name
MOCORPD
MOCAAAD
MOCAAD
MOCAD
MOCBAAD
MOCNEWM
MOFOREW
MOINDUD
MOIAAAD
MOIAAD
MOIAD
MOIBAAD
MOUTILD
MOUAAAD
MOUAAD
MOUAD
MOUBAAD
MORAILW
MORAAAM
MORAAM
MORAM
MORBAAM
MORNM
MOPREF4M
Pref. Ind. High Dividend, High Grade
01/1919-06/1977
Pref. Ind. High Dividend, Medium Grade
01/1919-12/1985
Pref. Ind. High Dividend, Speculative
01/1919-07/1987
Pref. Ind. Low Dividend, High Grade
01/1947Pref. Ind. Low Dividend, Medium Grade
01/1947Preferred Util. AA (2) 01/194612/19/1975Preferred Util. A (8)
07/197512/19/1975Preferred Util. BAA (5) 01/194612/19/1975-
MOPIHHM
MOPIHMM
MOPIHSM
MOPILHM
MOPILMM
MOPUAAW
MOPUAW
MOPUBAAW
Municipals
Municipals
Municipals
Municipals
Municipals
Municipals
Municipals
Municipals
MOVMIGW
MOMTAAAW
MOMTAAW
MOMAAAW
MOMAAW
MOMAW
MOMBAAW
MOMUNIW
7-day VMIG
10-Year AAA
10-Year AA
20-Year AAA
20-Year AA
20-Year A
20-Year BAA
20-Year Comp
01/195001/195001/193701/193701/193701/193703/1947-
09/11/198712/07/197912/07/197901/02/194801/02/194801/02/194801/02/194801/01/1928-
United States Standard and Poor's Bond Indices
These indices were initiated by Standard Statistics Corporation in
the 1920s and were continued by Standard and Poor's when the two firms
merged. The primary sources for this data are Standard Statistics Corp.,
Base Book, New York: Standard Statistics Corp., 1931, Standard and
Poor's Security Price Index, New York: Standard and Poor's (1941, 1948,
1955, 1957, 1960, and biannually since then), Standard and Poor's,
Outlook, New York: Standard and Poor's (published weekly) and Standard
and Poor's, Statistical Service, New York: S&P. Data for Rail AAA from
1857 through 1899 uses Macaulay’s series for high-grade rail bonds which
is found in F. R. Macaulay, The Movements of Interest Rates, Bond Yield,
and Stock Prices in the United States since 1856, New York: National
Bureau of Economic Research, 1938. Also included is Macaulay's Index of
Municipal Bond Yields. This is a quarterly index, but extends the data
on Municipal bonds back to 1857. The source for this is F. R. Macaulay,
The Movements of Interest Rates, Bond Yield, and Stock Prices in the
United States since 1856, New York: National Bureau of Economic
Research, 1938.
On May 29, 1996, the corporate bond indexes were replaced by a new
series, which is much broader in scope. Using about 2100 securities,
S&P introduced 54 new series based upon both maturity (1, 5, 10, 15, 20,
and 25 years) and ratings for Treasuries, Industrial Bonds (AAA through
B) and Electric Utility Bonds (AA through BBB). We now use the series
for bonds with a 15-year maturity for each rating. The BB+ 15-year bond
is now used for the Industrials BB bond series, and the B 10-year bond
is now used for the Industrials B bond series.
Bond Index
Composite AAA Prices
Composite AAA
Composite AA
Composite A
Composite BBB
Industrials AAA
Industrials AA
Industrials A
Industrials BBB
Industrials BB
Industrials B
Rails AAA
Rails AA
Monthly
01/1900
01/1900-
01/1900-
01/1857-
Weekly
01/06/1937-01/04/1984
01/06/1937-01/04/1984
01/06/1937-05/22/1996
01/06/1937-05/22/1996
01/06/1937-05/22/1996
01/06/193701/06/193701/06/193701/06/193706/22/198806/22/198801/06/1937-09/12/1973
01/06/1937-05/09/1979
63
File Name
SPBAAAIW
SPBCAAAW
SPBCAAW
SPBCAW
SPBCBBBW
SPAAA15W
SPAA15W
SPA15W
SPBBB15W
SPBBP15W
SPB10W
SPBRAAAW
SPBRAAW
Rails A
Rails BBB
Rails BB
Rails B
Utilities
Utilities
Utilities
Utilities
AAA
AA
A
BBB
Preferred Yield
01/1900-
01/1910-12/1928
Municipal Bonds
01/1900-12/1928
US Govt. Intermediate (6-9 years)
US Govt. Long-Term (20+ years)
US Govt. Short-Term (3-4 years)
US Inter. Tax-exempt
01/19-12/37
US Long Tax-exempt
01/19-12/37
US Short Tax-exempt
06/19-12/37
01/06/1937-05/09/1979
01/06/1937-05/09/1979
01/06/1937-02/06/1963
01/06/1937-02/06/1963
01/06/1937-12/28/1983
01/06/193701/06/193701/06/1937-
SPBRAW
SPBRBBBW
SPBRBBW
SPBRBW
SPBUAAAW
SPBUAAW
SPBUAW
SPBUBBBW
01/03/1929-06/30/1994
SPPREFYW
01/03/192901/07/194201/07/194201/07/194201/05/1938-12/31/1947
01/05/1938-12/31/1947
01/05/1938-12/31/1947
SPBMUNIW
SPBUSGIW
SPBUSGLW
SPBUSGSW
SPBUSITW
SPBUSLTW
SPBUSSTW
Standard and Poor’s has also calculated price indices for bonds. In
each case, they assume a constant yield and maturity for all of the
bonds, then calculate the price index based upon those assumptions. For
the taxable government bonds, the price indices assumed an interest rate
of 3% through 1979, and 8% thereafter. The following price indices for
bonds are included
Bonds
US Inter. Tax-exempt
US Long Tax-exempt
US Short Tax-exempt
US Municipal Bonds
US Intermediate Bonds
US Long-term Bonds
US Short-term Bonds
Begins
01/1919
01/1919
06/1919
01/1900
01/1942
01/1942
01/1942
Ends
12/1947
12/1947
12/1947
Yield/Maturity
3%, 7.5 Years
3%, 15 Years
3%, 3.5 Years
3.75%, 20 Years
3%, 8%, 7.5 Years
3%,8.5%, 15 Years
3%, 8%, 3.5 Years
File Name
SPBEITIW
SPBELTIW
SPBESTIW
SPBIMUNW
SPBTITIW
SPBTLTIW
SPBTSTIW
In 1996, Standard and Poor’s revised their bond indices to expand
the number of bonds that was included, and bond maturities as well as
ratings. The historical series were only calculated back to January of
1996, except for the 10-year B rated bonds, which begin in July 1996.
Longer maturities are not available for the junk bond series. These
should provide interesting material once several years of historical
data have been established. All series are for industrial bonds, and
they begin in January 1996. The series names are given below.
Maturity
1 year
5 years
10 years
15 years
20 years
25 years
AAA
SPAAA1M
SPAAA5M
SPAAA10M
SPBCAAAW
SPAAA20M
SPAAA25M
AA
SPAA1M
SPAA5M
SPAA10M
SPBCAAW
SPAA20M
SPAA25M
Maturity
1 year
5 years
10 years
BB/BBSPBB1M
SPBB5M
SPBB10M
B
SPB1M
SPB5M
SPBCBW
A
SPA1M
SPA5M
SPA10M
SPBCAW
SPA20M
SPA25M
BBB
SPBBB1M
SPBBB5M
SPBBB10M
SPBCBBBW
SPBBB20M
BB+
SPBBP1M
SPBBP5M
SPBBP10M
SPBCBBW
Miscellaneous US Corporate Bond Yield Indices
Index
Barron's High Grade Bonds
Monthly
64
Weekly
File Name
01/02/1932- INUSABHW
Barron's Intermediate Grade Bonds
Dow Jones Bonds Yield
Macaulay’s High Grade Rails
01/1857-01/1937
65
01/08/1971- INUSABIW
04/02/1915- INUSADJW
INUSAMRM
DEPOSIT RATES, LENDING RATES AND MONEY MARKET INTEREST RATES
This portion of the database consists of money market interest
rates, which includes call money rates, money market rates paid on
funds, deposit rates and lending rates. We have tried to differentiate
between the different types of deposit rates and lending rates that are
available. For deposit rates we provide data on current accountchecking deposits, savings deposits and time deposits with a “D”, “S” or
“T” used to differentiate between them. For lending rates we provide
information on prime rates, business loans, consumer credit and mortgage
rates with a “P”, “B”, “C” or “M” used to differentiate between them.
Commercial bank deposit rates are available for the following
countries:
CURRENT SERIES
COUNTRY
Argentina
Argentina
Australia
Australia
Australia
Australia
Austria
Austria
Bahrain
Bangladesh
Barbados
Belgium
Belgium
Belgium
Belgium
Bolivia
Bolivia
Botswana
Brazil
Brazil
Bulgaria
Canada
Canada
Central African R
Chile
Chile
Chile
China
Colombia
Costa Rica
Cote d’Ivoire
Croatia
Croatia
Cyprus
Czech Republic
Czech Reupblic
Denmark
Denmark
Dominican Repub.
Dominican Repub.
Ecuador
Ecuador
MONTHLY
03/197711/183412/198112/198106/199101/196002/198903/197501/197601/196812/198912/198901/194801/199201/198712/198001/198012/198412/198201/199401/196101/195101/197910/199701/197701/198201/198001/192301/198201/197012/199212/199212/197001/197011/199701/194801/198808/199108/199103/200001/1989-
DAILY
TYPE AND MATURITY
01/04/1990- Savings Deposits
08/26/1985- Time 1-3 months
Savings Deposits
Time Deposits 3 months
Time Deposits 1 year
Time Deposits 5 years
Checking Deposits
Savings Deposits
Time Deposit 3 months
Time Deposit 3-6 months
Time Deposit Average
Demand Deposits
Savings Deposits
Time Deposit 3 months
Time Deposits 3 years
Savings Deposits
Time Deposit 3 months
Time Deposit 3 months
Savings Deposits
Time Deposit 3 months
Deposit Rate
01/03/1990- Time Deposit 3 months
01/03/1990- Guaranteed IC 5 Years
Savings Deposit Rate
Savings Rate
Time Deposit 1-3 months
01/03/2001- Inflation Adjusted CDs
Time Deposit 1 year
01/18/1984- Time Deposit Average
02/21/1996- Time Deposit 1-3 months
Time Deposit 3 months
Savings Deposits
Time Deposits 3 months
Time Deposit 3+ months
Time Deposit Rate
Demand Deposits
Current Accounts
Time Deposits
01/05/2001- Savings Deposits
01/05/2001- Time Deposits 3 months
Dollar Deposit Rate
Savings Rate
66
FILE NAME
ICARGSD
ICARGTD
ICAUSSM
ICAUST3M
ICAUST1M
ICAUST5M
ICAUTDM
ICAUTSM
ICBHRTM
ICBGDTM
ICBRBM
ICBELDM
ICBELSM
ICBELTM
ICBEL3YM
ICBOLSM
ICBOLTM
ICBWATM
ICBRASM
ICBRATM
ICBGRM
ICCANT3W
ICCANT5W
ICCAFSM
ICCHLSM
ICCHLTM
ICCHLIM
ICCHNTM
ICCOLTW
ICCRI3M
ICCIVTM
ICHRVSM
ICHRVTM
ICCYPTM
ICCZETM
ICCZEDM
ICDNKDM
ICDNKTM
ICDOMSW
ICDOM3W
ICECUDM
ICECUSM
Ecuador
Egypt
Egypt
Estonia
Europe
Europe
Finland
Finland
Finland
France
France
Germany
Germany
Germany
Ghana
Greece
Greece
Greece
Guatemala
Honduras
Honduras
Honduras
Hong Kong
Hong Kong
Hungary
Hungary
Iceland
India
Indonesia
Iran
Ireland
Israel
Italy
Italy
Jamaica
Japan
Japan
Japan
Jordan
Jordan
Kazakhstan
Kenya
South Korea
South Korea
South Korea
Kuwait
Latvia
Lebanon
Lebanon
Lebanon
Lithuania
Lithuania
Luxembourg
Malaysia
Malaysia
Malaysia
Mauritius
Mauritius
Mexico
Mexico
Mongolia
01/198309/1991
01/197601/199312/199512/199509/198401/198001/199101/196601/198011/196806/198611/196809/197801/198001/198011/196001/197801/198501/199201/199206/199905/197101/199612/197001/190104/199504/197401/199301/196212/198301/198312/198712/197801/195702/197712/199103/199403/199701/196701/199003/199101/196901/198107/199301/197301/197301/197201/199312/199204/198501/197601/199701/199512/199706/198001/199301/196201/1986-
Time Deposit 1-3 months
Egypt Savings Accounts
Time Deposit Higher
Time Deposit Average
Demand Deposits
Time Deposit 3 months
Markka Deposits
Demand Deposits
Time Deposits
Saving Deposits
Time Deposits
Savings Deposits
Time Deposits 1 month
Time Deposits 3 months
Time Deposits 3 months
Sight Deposits
Savings Deposits
Time Deposit 3-6 months
Average Lending Rate
Average Deposit Rate
Savings Rate
Time Deposit Rate
Savings Deposits
Time Deposit 1 month
Sight Deposits
Time Deposit 6 months
Savings Accounts
Time Deposit 3 months
Time Deposit 6 months
Deposit Rate
Time Deposit 3 months
Time Deposit <1 year
Demand Accounts
Time Deposits 3 months
Time Deposit 3-6 months
Demand Deposits
02/06/1988- Ordinary Deposits
Time Deposit 3 months
Demand Deposits
Time Deposits 3 months
Average Deposit Rate
Time Deposit 3-6 months
Savings Rate
08/01/1991- Time Deposits 3 months
Time Deposits 1 year
Time Deposit 3 months
Time Deposit <1 year
Checking Accounts
Savings Accounts
Time Deposit 3 months
Demand Deposits
Time Deposits
Savings Accounts
Demand Deposits
Savings Rate
Time Deposits 3 months
Savings Deposits
Time Deposit 3 months
Savings Rate
Time Deposit 3 months
Deposit Rate 3 months
67
ICECUTM
ICEGYSM
ICEGYTM
ICESTDM
ICEURDM
ICEURTM
ICFINM
ICFINDM
ICFINTM
ICFRASM
ICFRATM
ICDEUSM
ICDEUT1M
ICDEUT3M
ICGHAM
ICGRCDM
ICGRCSM
ICGRCTM
ICGUAM
ICHNDM
ICHNDSM
ICHNDTM
ICHKGSM
ICHKGTM
ICHUNCM
ICHUNTM
ICISLSM
ICINDTM
ICIDNTM
ICIRNDM
ICIRLTM
ICISRTM
ICITADM
ICITATM
ICJAMM
ICJPNDM
ICJPNCW
ICJPNTM
ICJORDM
ICJORTM
ICKZKM
ICKENTM
ICKORSM
ICKORTD
ICKORT1M
ICKWTDM
ICLVATM
ICLBNCM
ICLBNSM
ICLBNTM
ICLTUDM
ICLTUTM
ICLUXSM
ICMYSDM
ICMYSSM
ICMYSTM
ICMUSSM
ICMUSTM
ICMEXSM
ICMEXTM
ICMNGDM
Morocco
Namibia
Nepal
Netherlands
Netherlands
Netherlands
New Zealand
New Zealand
Nicaragua
Nicaragua
Nigeria
Norway
Norway
Norway
Oman
Panama
Paraguay
Paraguay
Peru
Peru
Peru
Philippines
Poland
Portugal
Qatar
Russia
Russia
Saudi Arabia
Singapore
Singapore
Singapore
Slovakia
Slovenia
South Africa
South Africa
South Africa
South Africa
Spain
Spain
Spain
Sri Lanka
Swaziland
Sweden
Sweden
Switzerland
Switzerland
Switzerland
Taiwan
Thailand
Trinidad & Tobago
Trinidad & Tobago
Tunisia
Turkey
Ukraine
United Kingdom
United Kingdom
United States
United States
United States
Uruguay
Uruguay
12/199701/199107/197401/198001/195101/198801/199101/196501/198801/198801/197001/191501/198501/198812/198403/198611/198912/198912/199712/199701/197601/197612/198912/197512/197901/199801/199201/199701/197701/1983-
01/02/1997-
01/08/198801/199312/199101/198201/1945-
01/02/198101/02/198101/02/1981-
01/198001/196901/196901/197812/197301/193301/198004/195607/199701/198107/196101/197701/199706/199609/196201/197312/199201/1995
01/1924
12/24/196506/11/196406/12/196407/1976
07/1976
68
Deposit Rate 12 months
Time Deposit 3 months
Time Deposits 3-12 mo.
Current Account
Demand Deposits
Time Deposits 3 months
Demand Deposits
Time Deposits 6 months
Current Deposits
Savings Deposits
Time Deposit 3 months
Demand Deposits
Savings Deposits
Time Deposits 3 months
Time Deposits 3 months
Time Deposit 6 months
Current Deposits
Savings Deposits
Checking Deposits
Savings Deposits
Time Deposit 1-6 months
Time Deposit 2-3 months
Demand Deposits
Time Deposit 6-12 month
Deposit Rate
Sight Deposits
Time Deposit 1 month
Deposit Rate
Fixed Deposits
Savings Deposits
CDs 3 months
Deposit Rate Average
Deposit Rate Average
Savings Deposits
Time Deposits 3 months
Time Deposits 6 months
Time Deposits 12 months
Demand Deposits
Savings Deposits
Time Deposits 1-2 years
Time Deposits 3 months
Savings Deposits
Demand Deposits
Time Deposits 3 months
Demand Deposits
Savings Accounts
Time Deposits 3 months
CDs 30 Days
Time Deposit 3-6 months
Savings Rate
Time Deposit 3 months
Savings Deposits
Time Deposit 3 months
Time Deposit Rate
Savings Deposits
Time Deposits 3 months
CDs 1 month
CDs 3 months
CDs 6 months
Savings Deposits
Time Deposit 1-6 months
ICMARM
ICNAMTM
ICNPLM
ICNLDCM
ICNLDDM
ICNLDTM
ICNZLDM
ICNZLTM
ICNICDM
ICNICSM
ICNGATM
ICNORDM
ICNORSM
ICNORTM
ICOMNTM
ICPANTM
ICPRYDM
ICPRYSM
ICPERDM
ICPERSM
ICPERTD
ICPHLTM
ICPOLDM
ICPRTTM
ICQATDM
ICRUSDM
ICRUSTM
ICSAUDM
ICSGPDM
ICSGPSM
ICSGPTW
ICSVKTM
ICSVNDM
ICZAFSM
ICZAF3W
ICZAF6W
ICZAF12W
ICESPDM
ICESPSM
ICESPTM
ICLKADM
ICSWZDM
ICSWEDM
ICSWETM
ICCHEDM
ICCHESM
ICCHETM
ICTWNTM
ICTHADM
ICTTOSM
ICTTOTM
ICTUNSM
ICTURTM
ICUKRTM
ICGBRSM
ICGBRTM
ICUSAT1D
ICUSAT3D
ICUSAT6D
ICURYSM
ICURYTM
Venezuela
Venezuela
Yugoslavia
Zambia
Zimbabwe
01/199203/198401/199901/197801/1980-
01/04/2000- Savings Rate
01/02/1997- Time Deposit 3 months
Monthly Deposit Rate
Time Deposit 3-6 months
Time Deposit 3 months
ICVENSD
ICVENTD
ICYUGM
ICZMBTM
ICZWETM
Lending Rates from banks and governments are available for the
following countries:
Argentina
Argentina
Argentina
Argentina
Argentina
Argentina
Australia
Australia
Australia
Australia
Austria
Austria
Austria
Bangladesh
Barbados
Belgium
Belgium
Belgium
Belgium
Bolivia
Botswana
Brazil
Bulgaria
Canada
Canada
Central African R
Chile
Chile
China
Colombia
Costa Rica
Croatia
Cyprus
Czech Republic
Denmark
Denmark
Denmark
Dominican Repub.
Ecuador
Ecuador
Egypt
Estonia
Europe
Europe
Europe
Finland
Finland
Finland
France
France
Germany
Germany
06/199306/199306/199312/198810/197404/181701/195901/199404/199504/199501/197601/196801/199301/198001/196001/199312/198001/198001/199701/199401/193501/195101/197901/197701/198201/198001/192301/198201/199305/196901/198012/199512/199501/199408/199101/198003/200001/197609/199212/199512/199512/199512/197701/198001/198004/198401/194811/196806/1986-
04/01/1993- Institutional Loans
03/01/1979- 15-day Loans to Inst.
Consumer Loans
04/21/1997- Dollar Loans
Mortgage Loans
Consumer Overdrafts
Consumer Credit
Consumer Credit Loans
Prime Lending Rate
Mortgage Lending Rate
Prime Lending Rate
Consumer Credit
Mortgage Lending Rate
Agricultural Loans
Prime Lending Rate
Consumer Loans
Mortgage Loans
Prime Lending Rate
ST Business Loans
Lending Rate
Prime Lending Rate
Average Lending Rate
Lending Rate
01/03/1990- Prime Lending Rate
01/03/1990- 5-year Mortgage Rate
Minimum Lending Rate
Prime Lending Rate
01/03/2001- Inflation Adjusted Loan
State Loans to Industry
Average Lending Rate
02/21/1996- Industrial Loans
Average New Loans
Prime Lending Rate
Average Lending Rate
Consumer Loans
Loans to Enterprises
Prime Lending Rate
01/05/2001- Average Lending Rate
Average Lending Rate
Dollar Lending Rate
Prime Lending Rate
Average ST Loans
Loans To 1 Year
Consumer Loans
Mortgage Loans
Average Lending Rate
Consumer Credit
Mortgage Loans
Medium and Long-term
Prime Lending Rate
Current Account Credits
Consumer Loans
69
ILARGM
ILARG15D
ILARGCM
ILARGDD
ILARGMM
ILARGOM
ILAUSCM
ILAUSCCM
ILAUSPM
ILAUSMM
ILAUTBM
ILAUTCM
ILAUTMM
ILBGDM
ILBRBPM
ILBELCM
ILBELMM
ILBELPM
ILBELBM
ILBOLM
ILBWAPM
ILBRAM
ILBGRM
ILCANPW
ILCANMW
ILCAFM
ILCHLM
ILCHLIM
ILCHNM
ILCOLM
ILCRIM
ILHRVM
ILCYPM
ILCZEM
ILDNKCM
ILDNKBM
ILDNKPM
ILDOMW
ILECUM
ILECUDM
ILEGYM
ILESTM
ILEURBM
ILEURCM
ILEURMM
ILFINM
ILFINCM
ILFINMM
ILFRABM
ILFRAPM
ILDEUBM
ILDEUCM
Germany
Germany
Greece
Greece
Greece
Guatemala
Honduras
Hong Kong
Hungary
Hungary
Hungary
Iceland
Iceland
India
Indonesia
Ireland
Ireland
Ireland
Israel
Italy
Italy
Italy
Jamaica
Jamaica
Jamaica
Jamaica
Japan
Japan
Japan
Japan
Jordan
Kazakhstan
Kenya
Kuwait
Latvia
Latvia
Lebanon
Lithuania
Luxembourg
Malaysia
Malaysia
Mauritius
Mauritius
Morocco
Namibia
Netherlands
Netherlands
New Zealand
New Zealand
Nicaragua
Nigeria
Norway
Oman
Panama
Paraguay
Peru
Peru
Philippines
Poland
Portugal
Portugal
06/198211/196801/195701/199901/199901/197801/1982
01/196810/198801/199601/199611/198211/199312/197803/198601/198001/198007/197901/197908/198301/199501/196601/197601/199501/199501/199501/195709/199001/198103/197312/199103/199712/197104/197907/199301/199301/197201/199204/198501/199701/197612/199706/198012/199701/199101/195112/198701/198702/196401/198801/197001/195412/1984
03/198612/198901/197610/200001/197601/197912/197501/1990-
Mortgage Loans
Prime Lending Rate
Industrial Working Cap
Consumer Credit
Mortgage Loans
Average Lending Rate
Average Lending Rate
Best Lending Rate
State Interbank Lending
Consumer Lending Rate
Mortgage Lending Rate
Average Lending Rate
Prime Rate
State Interbank Loans
Working Capital Loans
Term Loans to 1 Year
Mortgage Loans
Overdraft Lending Rate
Overdraft Credit Rate
Average Lending Rate
Mortgage Loans
Prime Lending Rate
Prime Lending Rate
Business Lending Rate
Consumer Lending Rate
Mortgage Lending Rate
Average Lending Rate
Long-term Prime Rate
Mortgage Lending Rate
Short-term Prime Rate
Prime Lending Rate
Average Lending Rate
Unsecured Loans Rate
State Interbank Loans
Loans Under 1 Year
Loans Over 1 Year
Average Lending Rate
Average Lending Rate
Prime Lending Rate
Average Lending Rate
Base Lending Rate
Average Lending Rate
Overdraft Lending Rate
Lending Rate
Prime Lending Rate
Current Account Advance
Prime Lending Rate
Base Lending Rate
Mortgage Lending Rate
Lending Rate
First Class Advances
Average Lending Rate
Average Lending Rate
Average Lending Rate
Average Lending Rate
01/02/1997- Average Lending Rate
Prime Lending Rate
Average Lending Rate
Prime Lending Rate
Business Lending Rate
Consumer Credit
70
ILDEUMM
ILDEUPM
ILGRCBM
ILGRCCM
ILGRCMM
ILGUAM
ILHNDM
ILHKGPM
ILHUNM
ILHUNCM
ILHUNMM
ILISLM
ILISLPM
ILINDPM
ILIDNM
ILIRLBM
ILIRLMM
ILIRLPM
ILISRM
ILITAM
ILITAMM
ILITAPM
ILJAMM
ILJAMBM
ILJAMCM
ILJAMMM
ILJPNM
ILJPNLTM
ILJPNMM
ILJPNSTM
ILJORM
ILKZKM
ILKENM
ILKWTM
ILLVASTM
ILLVALTM
ILLBNM
ILLTUM
ILLUXPM
ILMYSM
ILMYSPM
ILMUSM
ILMUSPM
ILMARM
ILNAMM
ILNLDM
ILNLDPM
ILNZLM
ILNZLMM
ILNICM
ILNGAM
ILNORM
ILOMNM
ILPANM
ILPGYM
ILPERD
ILPERLM
ILPHLM
ILPOLM
ILPRTBM
ILPRTCM
Portugal
Russia
Russia
Singapore
Singapore
Slovak Republic
Slovenia
South Africa
South Africa
South Korea
Spain
Spain
Spain
Spain
Sri Lanka
Swaziland
Sweden
Sweden
Switzerland
Switzerland
Taiwan
Thailand
Trinidad & Tobago
Trinidad & Tobago
Tunisia
Ukraine
United Kingdom
United Kingdom
United Kingdom
United States
United States
United States
United States
Uruguay
Venezuela
Zambia
Zimbabwe
01/1990Mortgage Loans
07/1997Consumer Loans
01/1995Average Lending Rate
01/1978Prime Lending Rate
01/1986Mortgage Lending Rate
01/1993Average Credit Rate
12/1991Average Lending Rate
01/1965
Mortgage Lending Rate
01/1945Prime Lending Rate
08/1980Prime Lending Rate
01/1977Average Lending Rate
01/1980Consumer Credit
01/1980Mortgage Loans
01/1986Prime Lending Rate
01/1978Overdraft Lending Rate
01/1975Prime Lending Rate
03/1996Mortgage Lenging Rate
01/1933Prime Lending Rate
01/1960Mortgage Lending Rate
01/1966Prime Lending Rate
07/1961Prime Lending Rate
01/1976Export Lending Rate
01/1997Mortgage Lending Rate
12/1982Prime Lending Rate
01/1983Maximum Lending Rate
12/1992Lending Rate
01/1995Consumer Credit
09/1971Base Lending Rate
12/1973Mortgages 15+ Years
02/02/1934- 08/04/1955- Prime Rate
01/19831-year Adjustable Mort.
01/198615-year Fixed Mortgage
01/196404/02/1971- 30-year Fixed Mortgage
07/1976Average Lending Rate
03/198401/02/1997- Average Lending Rate
01/1978Maximum Hire Rate
01/1980Prime Lending Rate
ILPRTMM
ILRUSCM
ILRUSBM
ILSGPPM
ILSGPMM
ILSVKM
ILSVNM
ILZAFMM
ILZAFPM
ILKORM
ILESPM
ILESPCM
ILESPMM
ILESPPM
ILLKAM
ILSWZPM
ILSWEMM
ILSWEPM
ILCHEM
ILCHEPM
ILTWNPM
ILTHAPM
ILTTOMM
ILTTOPM
ILTUNM
ILUKRM
ILGBRCM
ILGBRPM
ILGBRMM
ILUSAPD
ILUSARM
ILUSA15M
ILUSA30W
ILURYM
ILVEND
ILZMBM
ILZWEM
Money market rates (overnight rates) are available for the following
countries:
Argentina
Australia
Australia
Austria
Belgium
Brazil
Canada
Cote d’Ivoire
Croatia
Czech Republic
Denmark
Egypt
Europe
Finland
France
Germany
Greece
Hong Kong
Hungary
Iceland
03/197901/196701/192701/196401/195707/197501/199204/199201/199701/199503/193601/1920-
11/1986-
04/21/199701/02/197907/01/199811/01/197812/13/199606/04/198601/02/199011/04/199601/04/2001
01/04/199912/31/1986
01/02/197501/02/197001/25/199401/04/198209/04/199508/03/1999-
71
Overnight Interbank
Unofficial 11 AM Call
Overnight Interbank
VIBOR Overnight
Overnight Interbank
SELIC Overnight Rate
Overnight Money Market
Money Market
Money Market
PRIBOR Overnight
Overnight Interbank
Overnight Interbank
EONIA (Overnight)
HELIBOR Overnight
Overnight Loans
Day to Day Money
Overnight Interbank
Overnight Interbank
BUPOR Overnight
Overnight Interbank
IMARGD
IMAUSUCD
IMAUSIBD
IMAUTD
IMBELD
IMBRAM
IMCAND
IMCIVM
IMHRVM
IMCZED
IMDNKD
IMEGYW
IMEURD
IMFIND
IMFRAD
IMDEUD
IMGRCD
IMHKGD
IMHUND
IMISLD
India
Indonesia
Israel
Italy
Japan
South Korea
Latvia
Lithuania
Malaysia
Mexico
Netherlands
New Zealand
Nicaragua
Norway
Pakistan
Paraguay
Peru
Philippines
Poland
Portugal
Russia
Singapore
Slovakia
Slovenia
South Africa
Spain
Sri Lanka
Sweden
Switzerland
Taiwan
Thailand
Trinidad & Tobago
Tunisia
Turkey
Ukraine
United Kingdom
United Kingdom
United States
Uruguay
04/192501/198512/199307/188302/193708/197608/199312/199301/196801/192901/198512/199508/197101/194910/199001/199601/200012/199012/197501/1992-
01/194901/198301/197803/196501/190701/198101/197701/198412/199304/199601/191901/197201/185712/1992-
Overnight Interbank
Interbank Call Rate
Pakam Rate
06/09/1978- Overnight Interbank
09/03/1927-01/30/1937 (weekly)
01/04/1998- Overnight Loans
01/06/1987- Call Money
01/20/1998- RIGBOR Overnight
Money Market
08/10/1993- Overnight Interbank
11/03/1998- Overnight Repo
01/02/1975- Overnight Interbank
08/26/1997- Call Money
Overnight Interbank
01/02/1986- Overnight Interbank
Call Money
03/27/2000- Overnight Interbank
Overdraft Rate
Overnight Interbank
06/04/1994- Money Market
11/16/1992- LISBOR Overnight
MIBOR Overnight
12/31/1987- Overnight Interbank
04/27/1993- BRIBOR Overnight
12/01/1992- Overnight Interbank
05/07/1976- Interbank Call Rate
04/02/1992- MIBOR Overnight
10/07/1994- Interbank Call Loans
Overnight Interbank
01/02/1975- Money Market
Overnight Interbank
01/03/1994- Overnight Interbank
10/10/2001- Overnight Interbank
Overnight Interbank
Overnight Interbank
Money Market Rate
01/02/1975- Money Market Rate
Overnight Interbank
01/05/1872- Broker Call Rate
Overnight Interbank
Discontinued Series
Country
Monthly
Dailys
Australia
07/196901/02/1976-07/31/1996
Australia
01/28/1976- 04/07/1976-01/30/1996
China
01/1920-09/1941
IMINDM
IMIDNM
IMISRM
IMITAD
IMJPND
IMKORD
IMLVAD
IMLTUM
IMMYSD
IMMEXD
IMNLDD
IMNZLD
IMNICM
IMNORD
IMPAKM
IMPRYD
IMPERM
IMPHLM
IMPOLD
IMPRTD
IMRUSM
IMSGPW
IMSVKD
IMSVND
IMZAFW
IMESPD
IMLKAW
IMSWEM
IMCHED
IMTWNM
IMTHAD
IMTTOD
IMTUNM
IMTURM
IMUKRM
IMGBRD
IMGBRIBM
IMUSABCD
IMURYM
File Name
Off. 11 AM Call
IMAUSOCD
Unoff. 24 hr Call IMAUSUMD
IMCHNM
DESCRIPTIONS OF INDIVIDUAL DATA FILES
rates.
Unless otherwise indicated, all data are monthly averages of daily
Principal sources include:
International Monetary Fund, International Financial Statistics, New
York: IMF (1948-) (IMF)
International Statistical Institute, International Abstract of Economic
Statistics, London: International Conference of Economic Services
(1919-1930 (published 1934) and 1931-1936 (published 1938)) (ISI)
League of Nations, Monthly Statistical Bulletin, Geneva: League of
Nations (1920-1946) (LoN)
72
League of Nations, Statistical Yearbook, Geneva: League of Nations
(1926-1944/45) (LoN)
Organization for Economic Cooperation and Development, Main Economic
Indicators, Paris: OECD (1952-) and OECD, Monthly Financial
Statistics, Paris: OECD (OECD)
Statistisches Reichsamt, Statistisches Jahrbuch fur das Deutsche Reich,
Berlin: Statistisches Reichsamt (1920-1941/2)
United Nations, Monthly Statistical Bulletin, New York: United Nations
(1947-) (UN)
Country: Argentina
Begins: March 1979, April 1993 and March 1977
Sources: Banco Central de la Republica, Statistical Bulletin (1977-)
Notes: The average rate on 30-day time deposits (ICARGM) is used through
March 1990 and the average rate offered on 30-89 day deposits from
April 1990 on. The lending rate is for loans of up to 15 days between
financial institutions (ILARGM). All data are for deposits and loans
in national currencies.
Country: Australia
Begins: November 1834 and April 1817 and January 1969
Sources: S. J. Butlin, A. R. Hall and R. C. White, Australian Banking
and Monetary Statistics 1817-1945, Sydney: Reserve Bank of Australia
Occasional Paper No. 4a; Reserve Bank of Australia, Monthly
Statistical Bulletin (1969-)
Notes: The rate on 3-month deposits is used. No data are available from
1946 to 1972. The 3-month discount rate on loans is used through
1957 and the prime lending rate thereafter.
Country: Austria
Begins: January 1960 and January 1967
Sources: Oesterreicheschen Nationalbank, Mitteilungen des Direktoriums
der Oesterreicheschen Nationalbank, Vienna: Oesterreicheschen
Nationalbank (1967-)
Notes: The deposit rate is on savings accounts (no data are available
from 1975 through June 1980), and the money market rate is the
average yield on one-day interbank loans among banks in Vienna.
Country: Bahrain
Begins: March 1975
Sources: Bahrain Monetary Agency, Quarterly Statistical Bulletin (1975-)
Country: Bangladesh
Begins: January 1976
Sources: Bangladesh Bank, Monthly Bulletin (1976-)
Country: Barbados
Begins: January 1968
Sources: Central Bank of Barbados, Monthly Bulletin (1968-)
Notes: The average interest rates on deposits and the prime landing rate
are used.
Country: Belgium
Begins: January 1948, March 1985 and January 1927
Sources: League of Nations (1927-45), Banque National de Belge, Bulletin
(1946-)
Notes: The deposit rate is for three-month time deposits with commercial
banks. The lending rate is the published rate for liquidity credit
offered by the four major banks, similar to a prime rate. For the
money market rate, no data are available for the money market rate
73
from June 1935, September 1935 through December 1938 and May through
August 1940. The call money rate is used through 1989 and the
average of borrowing and lending rates for overnight interbank
transactions is used thereafter.
Country: Bolivia
Begins: December 1980
Sources: Banco Central de Bolivia, Boletin Estadistico (1968-)
Notes: The average interest rates on deposits and loans are used.
Country: Botswana
Begins: January 1980
Sources: Bank of Botswana, Statistical Bulletin (1980-)
Notes: The Deposit rate is for 88-day-notice fixed deposits, and the
lending rate is the commercial banks’ prime lending rate.
Country: Brazil
Begins: December 1980 and January 1964
Sources: Central Bank, Bulletin (1982-)
Notes: The Time Deposit rate and the SELIC Overnight Rate are used.
Country: Bulgaria
Begins: January 1994
Sources: Central Bank of Bulgaria
Country: Canada
Begins: January 1971, January 1935 and January 1957
Sources: Bank of Canada, Weekly Financial Statistics (1948-)
Notes: Chartered banks’ rate on 90-day Canadian dollar deposits is used
for the deposit rate, the prime lending rate for the lending rate,
and the overnight money market financing rate and the prime rate are
used. The average residential mortgage lending rate is for 25-year
mortgages through 1970 and for 5 years thereafter. Call money rates
for Montreal are also available from 1902 to 1913.
Country: Central African Republic
Begins: January 1979
Sources: Banque des Etats d’Afrique Centrale, Etudes et Statistiques
Notes: The Banque Centrale des Etats de l’Afrique de l’Ouest runs the
monetary policy for Cameroon, Central African Republic, Chad, Congo,
Equatorial Guinea, and Gabon. The Central African Republic’s deposit
and lending rates can be used for all of these countries.
Country: Chile
Begins: January 1977
Sources: Banco Central de Chile, Bulletin Mensual, Santiago (1977-)
Notes: The Deposit and Lending rates for 30-89 days are used.
Country: China
Begins: January 1920 and January 1980
Ends: September 1941
Sources: League of Nations (1920-41), IMF (1980-)
Notes: No data are available from 1925 to 1928; data are quarterly from
1929 to 1936 and monthly thereafter for the money market rate in preWorld War II China. The deposit rate and lending rates paid/charged
by the People’s Bank of China is used for the current series.
Country: Colombia
Begins: January 1923 and March 1992
74
Sources: Departamento Nacional de Planeacion, Estadisticas Historicas de
Colombia, Bogota, 1998, Banca de la Republica de Colombia, Monthly
Bulletin (1980-)
Notes: The savings rate is used from 1923 to 1970, the yield on CDTs
from 1971 to 1980, and the average deposit rate of banks from 1981
on. The average loan rate is used from 1923 to 1985, and a weighted
average of rates charged by commercial banks, financial corporations
and commercial finance companies on loans is used from 1986 on.
Country: Costa Rica
Begins: January 1982
Sources: Banco Central de Costa Rica, Statistical Bulletin (1982-)
Notes: The official bank rate for time deposits of 30-89 days by the
state owned banks is used, and the lending rate is the rate charged
by commercial banks on loans for agricultural activities.
Country: Cote d’Ivoire
Begins: January 1970 and July 1975
Sources: IMF (1970-)
Notes: Because Cote d’Ivoire is a member of the Banque Centrale des
Etats de l’Afrique de l’Ouest, the interest rates for Cote d’Ivoire
are the same for Benin, Burkino Faso, Mali, Mauritania, Niger,
Senegal, Guinea Bissau and Togo.
Country: Croatia
Begins: January 1992
Sources: National Bank of Croatia (1992-)
Country: Cyprus
Begins: December 1970 and May 1969
Sources: Central Bank of Cyprus, Bulletin (1969-)
Notes: The deposit rate is for time deposits of 3-12 months on balances
over 5000 pounds and the lending rate is for advances and loans by
commercial banks.
Country: Czech Republic
Begins: January 1970, January 1980 and April 1992
Sources: IMF (1970-)
Notes: The lending rate to industrial firms, rather than the lending
rate to households is used. Data are annual from 1970 through 1989,
quarterly for 1990 and monthly beginning in 1991.
Country: Denmark
Begins: January 1948 and January 1972
Sources: Danmarks Bank, Monetary Review (1972-)
Notes: The current account deposit rate and the call money rate are used
Country: Ecuador
Begins: January 1983 and January 1980
Sources: Banco Central del Ecuador, Bulletin (1980-)
Notes: The deposit rate is an average of free market rates offered by
deposit money banks on 31-91 day deposits, and the lending rate is
the rate charged by deposit money banks on 92-175 day loans.
Country: Europe
Begins: January 1994
Sources: European Central Bank
Notes: The deposit rate to 3 months is used. The Lending rate to
enterprises to 1 year is used. The EONIA (Euro Overnight Index
Average) is used for the money market rate.
75
Country: Finland
Begins: December 1977, November 1979 and September 1975
Sources: Bank of Finland, Monthly Bulletin (1975-)
Notes: The deposit rate is for 24-month time deposits; the limit on
interest rates for credits used in domestic lending other than bank
financing is used through 1986, the ordinary call money credit rate
through 1992, and the average of end-of-the-month commercial bank
lending rates is used for the lending rate thereafter; the call money
rate is used for the money market rate.
Country: France
Begins: January 1966, January 1948 and January 1936
Sources: League of Nations (1936-45), Banque de France, Bulletin
Trimestriel (1946-)
Notes: The average rate on time and savings deposits and on short-term
cash note is used for the deposit rate; the average lending rate for
commercial paper with a nominal value of over FF 10,000 is used for
the lending rate, and a monthly average of rates for day-to-day loans
against private bills is used for the money market rate.
Country: Germany
Begins: January 1920
Sources: Statistisches Reichsamt (1920-29), League of Nations (1930-45),
Deutsche Bundesbank, Monthly Report (1954-)
Notes: The deposit rate on three-month deposits under 1 million marks is
used; the rate on current account credit of less than 1 million marks
is used for the lending rate, and an average of ten daily quotations
for day-to-day money is used for the money market rate. No data are
available from October 1945 until February 1954 for the money market
rate.
Country: Ghana
Begins: September 1978
Sources: Bank of Ghana, Quarterly Economic Bulletin (1978-)
Notes: The rate on three-month time deposit rate is used.
Country: Greece
Begins: November 1960 and January 1957 and July 1995
Sources: Bank of Greece, Monthly Statistical Bulletin (1957-)
Notes: The maximum rate offered by deposit money banks on 3-12 month
drachma deposits is used. The cost of working capital for industry
is used for the lending rate.
Country: Hong Kong
Begins: May 1971 and December 1993
Sources: Hong Kong Monetary Authority, Hong Kong Monthly Statistics
(1971-)
Notes: The deposit rate on three-month CDs under $100,000 is used. Data
are for the end of the month through April 1995, and monthly averages
thereafter.
Country: Hungary
Begins: December 1970, October 1988 and January 1995.
Sources: IMF (1970-)
Notes: The deposit rate on three-month CDs is used. The Money market
rate is quarterly through I/1996 and monthly thereafter.
Country: Iceland
Begins: January 1901, November 1982, March 1996 and November 1986
76
Sources: Iceland Statistical Yearbook (1901-1973), Central Bank of
Iceland, Quarterly Bulletin (1974-)
Notes: Deposit rates on ordinary savings deposit rates from 1901 through
1982 and current accounts from 1996 on. The average lending rate and
Prime Rate are also provided. The money market rate is the overnight
interbank rate.
Country: India
Begins: December 1978 and April 1925
Sources: Reserve Bank of India, Banking and Monetary Statistics of
India, Bombay: Reserve Bank of India, 1954, 1962 (1925-61), Reserve
Bank of India, Monthly Bulletin (1962-)
Notes: The low yield on 3-month CDs, the prime lending rate, and the
call money rate are used.
Country: Indonesia
Begins: April 1974, March 1986 and January 1985
Sources: Bank Indonesia, Monthly Bulletin (1974-)
Country: Iran
Begins: January 1993
Sources: Central Bank of Iran, Quarterly Bulletin (1993-)
Country: Ireland
Begins: January 1962, July 1979
Sources: Central Bank of Ireland, Quarterly Bulletin (1962-)
Notes: The deposit rate offered by licensed banks on term deposits of
5,000-25,000 pounds is used; the rate charged by licensed banks on
overdrafts offered to AAA customers in the primary, manufacturing and
services sectors is used for the lending rate.
Country: Israel
Begins: December 1983, January 1979 and December 1993
Sources: Central Bureau of Statistics, Monthly Bulletin of Statistics
(1979-)
Notes: The average rate offered by commercial banks on all short-term
deposits up to one year is used currently. Before September 1988 the
rate was for 14-day fixed deposits. The average effective cost of all
unindexed credit in Israeli currency, including overdraft credit is
used. Prior to January 1989, the rate charged by commercial banks on
overdrafts is used. The Pakam rate is used for the money market rate.
Country: Italy
Begins: January 1982, and January 1985
Sources: Banca d’Italia, Bolletino (1983-)
Notes: The average rate paid by banks on deposits free of time
constraints is used for the deposit rate; the average rate charged by
banks on all bank loans in lire is used for the lending rate. A
second series for the Prime Lending rate (ILITAPM) is also included
Country: Jamaica
Begins: December 1978 and
Sources: Bank of Jamaica,
Notes: The maximum of the
deposits and the prime
January 1976
Statistical Digest (1976-)
range quoted by commercial banks on 3-6 month
lending rate are used.
Country: Japan
Begins: July 1883-December 1894 and February 1977, January 1980-,
January 1914-
77
Sources: Report on the Commission for the Stabilization of the Currency,
1899, pp. 34-35, 99-102. William Graham Sumner, et al., eds., A
History of Banking in All the Leading Nations, Vol. IV, New York:
Journal of Commerce, 1896 (1971), Augustus M. Kelley, pp. 474-475
(1883-1894); National Bank of Japan, Annual Economic Statistics,
Tokyo: Bank of Japan (1914-1923); League of Nations (1924-45),
Industrial and Commercial Bank Semi-Annual Report (1949-55), Bank of
Japan, Economic Statistics Monthly (1956-)
Notes: Data are available for the interest rate for loans between 1000
and 10,000 yen, and for call money rates in Tokyo. The monthly high,
low and average are given. Data are annual for 1868 through 1873
using data from December of each year. For the call money series, no
data are available from February 1945 until December 1948. Weekly
data are available from September 1927 through January 1937 for call
money rates and for the private discount rate. A series for the
Gensaki 3-month CD rate is provided beginning in 1977 as well as a
series for the prime lending rate charged by all banks on both shortand long-term loans, discounts and overdrafts. The overnight lending
rate is used for the money market rate.
Country: Jordan
Begins: December 1991
Sources: Central Bank of Jordan, Monthly Statistical Bulletin (1991-)
Notes: The rate paid on 3-month deposits by licensed banks, and the rate
charged by licensed banks on loans of less than one year is used.
Country: Kenya
Begins: January 1967
Sources: Central Bank of Kenya, Economic and Financial Review (1967-)
Notes: The upper margin offered on 3-6 month deposits, and the upper
margin on commercial banks’ unsecured loans and advances to the
general public are used.
Country: Kuwait
Begins: January 1981 and April 1979
Sources: Central Bank of Kuwait, Quarterly Statistical Bulletin (1979-)
Notes: Rate on time deposits and the lending rate to be charged by
commercial banks are used. From August 1990 to February 1991 no data
are available, so the July 1990 rate is used.
Country: Latvia
Begins: July 1993
Sources: IMF (1993-)
Country: Lebanon
Begins: January 1982
Sources: Bank of Lebanon, Quarterly Bulletin (1982-)
Notes: The average rate offered by commercial banks on fixed-term
deposits, and the average rate charged by commercial banks on loans
and advances are used.
Country: Lithuania
Begins: January 1993, January 1992 and December 1993
Sources: IMF (1992-)
Country: Luxembourg
Begins: April 1985
Sources: Institut Monetaire Luxembourgeois, Bulletin Trimestriel (1985-)
Notes: The rate on savings deposits with the Luxembourg Savings Bank and
the minimum rate on mortgage loans are used.
78
Country: Malaysia
Begins: July 1960 and January 1976 and January 1983
Sources: Bank Negara, Monthly Statistical Supplement (1960-)
Notes: The 3-month fixed deposit rate is used from 1960 to 1967, the
overnight interbank lending rate from 1968 to 1994, and the 3-month
time deposit rate beginning in 1995. The Base Lending Rate is also
given.
Country: Mauritius
Begins: June 1980
Sources: Bank of Mauritius, Quarterly Review (1979-)
Notes: The upper margin on three-month deposits and the upper margin of
rates on overdraft loans for prime customers are used.
Country: Mexico
Begins: January 1979
Source: Banco de Mexico, Economic Indicators (1979-)
Notes: The net return offered by deposit money banks on three-month
financial promissory notes is used through 1987 and the one-month
rate is used since 1988. Mexican money market rates are for the yield
on banker’s acceptances through February 1995 and the TIIE rate
thereafter.
Country: Mongolia
Begins: January 1986 and July 1993
Source: Central Bank of Mongolia
Country: Namibia
Begins: January 1991
Sources: Bank of Namibia, Quarterly Bulletin (1991-)
Country: Netherlands
Begins: January 1951 and January 1929
Sources: League of Nations (1929-45), Central Bureau of Statistics,
Maandschrift (1946-)
Notes: The interest offered by banks on time deposits with three months’
notice is used for the deposit rate; the midpoint of the minimum and
maximum interest charged by banks on current account advances is used
for the loan rate; and the average market rate paid on bankers’ call
loans are used. Data for the deposit and loan rates are annual
through 1971, quarterly for 1972 and 1973 and monthly thereafter.
Country: New Zealand
Begins: January 1990, January 1987 and January 1986
Sources: Reserve Bank of New Zealand, Monthly Bulletin (1987-)
Notes: A weighted average interest rate for New Zealand’s four largest
banks for six-month deposits of NZ$10,000 or more, and the base
lending rate of New Zealand’s four largest banks are used.
Country: Nicaragua
Begins: January 1988
Sources: Central Bank, Indicadores Economicos (1988-)
Notes: The average interest rates on deposits and the Prime Lending rate
are used.
Country: Nigeria
Begins: January 1970
Sources: Central Bank of Nigeria, Monthly Report (1970-)
Notes: The interest rate offered by banks on three-month deposits and
the interest rate charged by banks on first-class advances are used.
79
Country: Norway
Begins: January 1915, January 1954 and August 1971
Sources: Norges Bank, Economic Bulletin (1971-)
Notes: The deposit rate with Norges Bank and the money market rate are
used. Data are annual through 1988 for deposit and lending rates and
quarterly thereafter.
Country: Pakistan
Begins: January 1949
Sources: State Bank of Pakistan, Statistical Bulletin (1949-)
Notes: The call money rate is used.
Country: Panama
Begins: March 1986
Sources: Directorate of Statistics and Census, Panamanian Statistics
(1984-)
Country: Paraguay
Begins: December 1989
Sources: Central Bank, Monthly Statistical Bulletin (1989-)
Notes:
Country: Peru
Begins: January 1976
Sources: Central Reserve Bank, Bulletin (1976-)
Notes: The average rate offered by commercial banks on 31-179 day time
deposits in national currency and the average rate charged by
commercial banks on loans in the national currency of 360 days or
less are used (pasiva a plazo 180-359 dias).
Country: Philippines
Begins: January 1976
Sources: Bangka Sentral Ng Pilipinas, Statistical Bulletin (1976-)
Notes: The deposit rate on 61-90 day time deposits and the average
commercial lending rate are used.
Country: Poland
Begins: December 1989, January 1970 and December 1990
Sources: IMF (1970-)
Notes: The rate on demand deposits with commercial banks, and the rate
on credits with lowest risk rates are used.
Country: Portugal
Begins: December 1975
Sources: Bank of Portugal, Quarterly Bulletin (1975-)
Notes: The administrative minimum rate offered by deposit money banks on
180-day to one-year time deposits and the rate charged by deposit
money banks on 91-180 day loans and advances to non-financial private
enterprises are used.
Country: Romania
Begins: January 1994
Sources: IMF (1994-)
Notes: The NRC Structural Credit Rate is used.
Country: Russian Republic
Begins: January 1992 and January 1995
Sources: IMF (1992-)
Country: Saudi Arabia
80
Begins: January 1997
Sources: Saudi Arabian Monetary Agency, Statistical Summary (1997-)
Notes: The deposit rate is used.
Country: Singapore
Begins: January 1977, January 1978 and December 1991
Sources: Monetary Authority of Singapore, Monthly Statistical Bulletin
(1975-)
Notes: The rate for three-month time deposits and the Minimum Lending
Rate based on quotes from ten leading commercial banks are used. The
overnight interbank rate is used for the money market rate.
Country: Slovakia
Begins: January 1993
Sources: IMF (1993-)
Country: Slovenia
Begins: December 1991
Sources: IMF (1991-)
Country: South Africa
Begins: January 1945
Sources: South Africa Reserve Bank, Quarterly Bulletin (1948-)
Notes: The upper margin for interest on time deposits of 88-91 days and
the prime overdraft rate of major banks are used.
Country: South Korea
Begins: January 1969 and August 1976
Sources: Bank of Korea, Monthly Statistical Bulletin (1969-)
Notes: The maximum guideline rate set by the Bank of Korea on time
deposits of one year or more with deposit money banks are used from
July 1984; prior to that rates set by the Bankers’ Association of
Korea were used. The minimum rate charged to general enterprises by
deposit money banks on loans of general funds for up to one year is
used for the lending rate.
Country: Spain
Begins: January 1982, June 1973
Sources: Banco d’Espana, Bulletin Mensual, Madrid (1973-)
Notes: The rate offered by deposit money banks on 6-12 month time
deposits and the rate charged by commercial banks to discount threemonth commercial bills are used.
Country: Sri Lanka
Begins: January 1978
Sources: Central Bank of Ceylon/Sri Lanka, Bulletin (1978-)
Notes: The maximum rate offered by commercial banks on 12-month deposits
is used, and the maximum advance rate charged by commercial banks on
interbank call loans is used for the money market rate.
Country: Swaziland
Begins: January 1975
Sources: Central Bank of Swaziland, Quarterly Review (1975-)
Notes: The upper margin offered on three-month fixed term deposits and
the prime rate are used.
Country: Sweden
Begins: March 1962, January 1970 and March 1965
Sources: Sveriges Riksbank, Quarterly Review (1965-)
Notes: A monthly average of daily rates for day-to-day interbank loans
is used. The Prime Lending Rate is used here.
81
Country: Switzerland
Begins: April 1956, January 1960, and January 1907
Sources: Statistischen Bureau, Statistisches Jahrbuch der Schweiz, Bern:
Verlag des Ar. Institut Orell Fussli (1907-1969) and Schweizerisches
Nationalbank, Monatsbericht, Zurich (1970-)
Notes: The rate of interest on three-month deposits with large banks and
the rate of interest on first mortgages are used. Two series are
provided (no data are available from 1973 through 1980 for ILCHEM.
The private discount rate is used from 1907 through 1979. No data are
available from 1980 to 1984.
Country: Taiwan
Begins: July 1961 and January 1981
Sources: Taiwan Statistical Agency, Monthly Bulletin (1961-)
Notes: The 30-day CD Rate, Prime Rate and Overnight Interbank rates are
used.
Country: Thailand
Begins: January 1977 and December 1982
Sources: Bank of Thailand, Monthly Bulletin (1977-)
Notes: The maximum rate offered by commercial banks on 3-6 month savings
deposits; the maximum rate charged by commercial banks for exportrelated loans are used. The overnight interbank rate is used for the
money market rate.
Country: Tunisia
Begins: January 1984
Sources: Central Bank of Tunisia, Financial Statistics (1984-)
Country: Turkey
Begins: January 1973
Sources: Turkiye Cumhuriyet Merkez Bankasi, Quarterly Bulletin (1973-)
Notes: The sight rate and the rate on three-month time deposits
denominated in Turkish lira are used.
Country: Ukraine
Begins: December 1992
Sources: IMF (1992-)
Country: United Kingdom
Begins: January 1924, January 1981 and January 1919
Sources: Central Statistical Office, Annual Abstract of Statistics,
London: CSO (1919-) and Bank of England, Quarterly Bulletin
Notes: Deposit rates are end-period observations of average rates for
the four main London clearing banks on instant access savings
accounts with a median balance of 10,000 pounds; before 1984 the rate
on seven-day notice banks was used. The base rate of the London
clearing banks is currently given in the file IDGBR19M. The series is
for call money rates.
Country: United States
Begins: January 1857
Sources: The Commercial Paper data for 1835 through 1871 are taken from
Walter B. Smith and Arthur H. Cole, Fluctuations in American
Business, Cambridge: Harvard Univ. Press, 1935, and the Broker Call
money data are taken from F. R. Macaulay, The Movements of Interest
Rates, Bond Yield, and Stock Prices in the United States since 1856,
New York: National Bureau of Economic Research, 1938 and the Board of
Governors of the Federal Reserve System, Federal Reserve Bulletin
82
Notes: The rate on three-month certificates of deposit; the prime
lending rate, the lending rate on thirty-year mortgages, and the
discount rate on commercial paper are used.
Country: Uruguay
Begins: July 1976 and December 1992
Sources: Central Bank of Uruguay, Statistical Bulletin (1980-)
Notes: The rate on 1-6 month domestic currency fixed deposits at the
five most representative private banks at the end of the month and
the deposit money banks’ lending rates on ordinary domestic currency
loans with a maturity not exceeding six months are used.
Country: Venezuela
Begins: March 1984
Sources: Banco Central de Venezuela, Monthly Bulletin (1984-)
Country: Zambia
Begins: January 1978
Sources: Bank of Zambia, Quarterly Statistical Review (1978-)
Country: Zimbabwe
Begins: January 1980
Sources: Reserve Bank of Zimbabwe, Quarterly Economic and Statistical
Review (1980-)
Notes: The maximum rate offered by commercial banks on three-month
deposit rates is used.
83
TREASURY BILL YIELDS
Unless otherwise indicated, data are for three-month treasury
bills issued by the government. The following countries are included in
the database:
Current Series
Country
Australia
Australia
07/1928Australia
01/1976Bahrain
Bangladesh
Barbados
Belgium
Belgium
Belgium
Belgium
Belgium
Bolivia
Brazil
Bulgaria
Canada
Canada
03/1934Canada
05/1959Canada
Colombia
Croatia
Cyprus
Czech Republic
Denmark
Egypt
El Salvador
Europe ECU
France
France
Germany
Ghana
Greece
Hong Kong
Hong Kong
Hong Kong
Hungary
Hungary
Hungary
Iceland 3 months
Iceland 6 months
Iceland 12 months
India
Ireland
Israel
Italy
Italy
Italy
Jamaica
Japan
Japan
Kenya
Kuwait
Latvia
Monthly
12/19/7912/21/7906/1987
01/1984
12/1966
01/1948
Daily
11/13/199112/02/198512/05/1985-
01/31/199101/30/199101/30/199106/11/199112/31/1986-
01/199407/196501/199401/02/199001/06/1988- 01/02/199001/06/1988- 01/02/199001/02/199001/199912/200008/199611/199601/197601/199112/07/200001/199801/198401/193109/29/200010/199609/29/200001/195301/197806/198506/10/199106/10/199106/10/199112/198802/199702/199706/198709/03/200111/199309/03/200111/199301/193101/22/199312/196901/196601/194001/198201/198201/195301/196009/29/200010/199609/29/200001/197204/197905/1994-
84
Frequency
1 month
3 months
6 months
3 months
3 months
3 months
1 month
2 months
3 months
6 months
12 months
3 months
3 months
3 months
1 month
3 months
6 months
12 months
3 months
3 months
3 months
3 months
3 months
3 months
3 months
3 months
3 months
6 months
3 months
3 months
3 months
3 months
6 months
12 months
3 months
6 months
12 months
3 months
6 months
12 months
3 months
3 months
3 months
3 months
6 months
12 months
3 months
3 months
6 months
3 months
3 months
3 months
File Name
ITAUS1D
ITAUS3D
ITAUS6D
ITBHRM
ITBGDM
ITBRBM
ITBEL1D
ITBEL2D
ITBEL3D
ITBEL6D
ITBEL12D
ITBOLM
ITBRAM
ITBGRM
ITCAN1D
ITCAN3D
ITCAN6D
ITCAN12D
ITCOLM
ITHRVM
ITCYPM
ITCZEM
ITDNKM
ITEGYM
ITSLVM
ITECUM
ITFRA3D
ITFRA6D
ITDEUM
ITGHAM
ITGRCM
ITHKG3D
ITHKG6D
ITHKG12D
ITHUN3M
ITHUN6M
ITHUN12M
ITISL3D
ITISL6D
ITISL12M
ITIND3D
ITIRLM
ITISRM
ITITA3M
ITITA6M
ITITA12M
ITJAMM
ITJPN3D
ITJPN6D
ITKENM
ITKWTM
ITLVAM
Lebanon
Lebanon
Lebanon
Lebanon
Lithuania
Malaysia
Malaysia
Malaysia
Mauritius
Mauritius
Mauritius
Mexico
Mexico
Namibia
Netherlands
New Zealand
Nigeria
Norway
Norway
Norway
Pakistan
Philippines
Poland
Portugal 3 months
Portugal 6 months
Romania
Russia
Singapore
Singapore
Slovak Republic
Slovenia
South Africa
Spain
Spain
Spain
Sri Lanka
Sri Lanka
Swaziland
Sweden
Sweden
Switzerland
Taiwan
Thailand
Trinidad & Tobago
Tunisia
Turkey
United Kingdom
USA 1-month
USA 3 months
USA 6 months
USA 12 months
Uruguay
Venezuela
Zambia
Zimbabwe
12/197706/198301/198310/199109/199401/196101/196101/196112/199602/198501/197809/199101/194103/197806/199701/1984-
08/04/200008/04/200008/04/200001/05/199509/07/199501/02/199001/02/198601/02/198608/29/1988-
03/199101/197601/199208/198501/198904/199407/199412/31/198709/03/199902/199305/199801/193602/199202/199201/197904/198110/199412/198101/195504/198001/198003/197401/197712/196401/199009/198501/190012/192512/194012/194012/1992-
01/02/198101/07/1998-
09/29/200001/03/199412/14/199909/15/1999-
09/29/200007/31/200101/05/193408/21/194212/31/1996-
01/197801/1962-
Discontinued Series
Country
Begins
Austria
January 1960
US Tax Exempts
08/31/1932
USA 3 months Auction
3 months
6 months
12 months
24 months
3 months
3 months
6 months
12 months
3 months
12 months
24 months
1 month
3 months
3 months
3 months
3 months
3 months
3-6 months
6-9 months
9-12 months
3 months
3 months
3 months
3 months
6 months
3 months
3 months
3 months
12 months
3 months
3 months
3 months
3 months
6 months
12 months
3 months
12 months
3 months
3 months
6 months
3 months
3 months
3 months
3 months
3 months
3 months
3 months
1 month
01/04/195412/09/195807/15/19593 months
3 months
3 months
3 months
Ends
December 1990
01/05/1934-12/26/1941
02/22/1935-06/30/2000
85
ITLBN3M
ITLBN6M
ITLBN12M
ITLBN24M
ITLTUM
ITMYS3M
ITMYS6M
ITMYS12M
ITMUS3W
ITMUS12W
ITMUS2W
ITMEX1W
ITMEX3W
ITNAMM
ITNLDM
ITNZLM
ITNGRM
ITNOR3D
ITNOR6D
ITNOR12D
ITPAKM
ITPHLM
ITPOLM
ITPRT3M
ITPRT6M
ITROMM
ITRUSM
ITSGP3W
ITSGP12W
ITSVKM
ITSVNM
ITZAFW
ITESP3M
ITESP6M
ITESP12D
ITLKA3M
ITLKA12M
ITSWZM
ITSWE3D
ITSWE6D
ITCHE3W
ITTWNM
ITTHA3D
ITTTOM
ITTUNM
ITTURM
ITGBR3D
ITUSA1D
ITUSA3SD
ITUSA6SD
ITUSA12D
ITURYM
ITVEND
ITZMBM
ITZWEM
File Name
ITAUTM
ITUSATEW
ITUSA3AW
USA 6 months Auction
12/1940-
01/08/1960-06/30/2000
ITUSA6AW
Descriptions of Individual Data Files
Unless otherwise noted, data are monthly.
include:
Principal sources
International Monetary Fund, International Financial Statistics, New
York: IMF (1948-) (IMF)
International Statistical Institute, International Abstract of Economic
Statistics, London: International Conference of Economic Services
(1919-1930 (published 1934) and 1931-1936 (published 1938)) (ISI)
League of Nations, Monthly Statistical Bulletin, Geneva: League of
Nations (1920-1946) (LoN)
League of Nations, Statistical Yearbook, Geneva: League of Nations
(1926-1944/45) (LoN)
Organization for Economic Cooperation and Development, Main Economic
Indicators, Paris: OECD (1952-) and OECD, Monthly Financial
Statistics, Paris: OECD (1960-) (OECD)
Statistisches Reichsamt, Statistisches Jahrbuch fur das Deutsche Reich,
Berlin: Statistisches Reichsamt (1920-1941/2)
United Nations, Monthly Statistical Bulletin, New York: United Nations
(1947-) (UN)
Country: Australia
Begins: July 1928
Sources: Reserve Bank of Australia, Statistical Bulletin (1928-)
Notes: Data are annual from July to June from 1928 through 1935 and
monthly thereafter. The treasury bill rate was controlled by the
government until 1959 when market rates were allowed to prevail.
Yields on Treasury notes are determined by issue price and assume the
notes are held to maturity.
Country: Austria
Dates: January 1960-December 1990
Source: Oesterreicheschen Nationalbank, Mitteilungen des Direktoriums
der Oesterreicheschen Nationalbank, Vienna: Oesterreicheschen
Nationalbank (1960-90)
Country: Bahrain
Begins: June 1987
Sources: Bahrain Monetary Agency, Quarterly Statistical Bulletin (1987-)
Country: Barbados
Begins: December 1966
Sources: Central Bank of Barbados, Economic and Financial Statistics
(1966-)
Country: Belgium
Begins: January 1948
Sources: Banque National de Belge, Bulletin (1948-)
Notes: Data are annual from 1948 through 1956.
Country: Bolivia
Begins: January 1994
Sources: Banco Central de Bolivia, Boletin Estadistico (1965-)
Country: Brazil
Begins: July 1965
86
Sources: Central Bank, Bulletin (1965-)
Notes: No data are available from 1991 through 1994.
Country: Canada
Begins: March 1934 and May 1959
Sources: League of Nations (1936-45), Bank of Canada, Weekly Financial
Statistics (1946-)
Notes: Series are included for both 3-month and 6-month Treasury Bills.
Country: Czech Republic
Begins: November 1996
Sources: State Bank, Monthly Bulletin (1996-)
Country: Denmark
Begins: January 1976
Ends: December 1990
Sources: Danmarks Bank, Monetary Review (1973-)
Country: Europe ECU
Begins: January 1984
Sources: Banca d’Italia, Bolletino (1984-)
Notes: This series uses the yield on ECU-denominated bills issued by the
Italian government.
Country: France
Begins: January 1931
Sources: League of Nations (1931-45), Banque de France, Bulletin
Trimestriel (1946-)
Notes: Data are quarterly through 1935. No data are available from
January 1955 until December 1959. Data for 1960-1969 is the shortterm discount rate paid on government bonds.
Country: Germany
Begins: January 1953
Sources: Deutsche Bundesbank, Monthly Report (1973-)
Country: Ghana
Begins: January 1978
Sources: Bank of Ghana, Quarterly Economic Bulletin (1978-)
Country: Greece
Begins: June 1985
Sources: Bank of Greece, Monthly Statistical Bulletin (1985-)
Country: Hong Kong
Begins: December 1993
Sources: Hong Kong Monetary Authority, Hong Kong Monthly Statistics
(1993-)
Country: Hungary
Begins: December 1988
Sources: IMF (1988-)
Country: India
Begins: January 1931
Sources: League of Nations (1931-45), Reserve Bank of India, Monthly
Bulletin (1946-)
Notes: Data are quarterly from 1931 until 1936. No data are available
from August 1948 to October 1996.
87
Country: Ireland
Begins: December 1969
Sources: Central Bank of Ireland, Quarterly Bulletin (1973-)
Country: Israel
Begins: January 1966
Sources: Central Bureau of Statistics, Monthly Bulletin of Statistics
(1966-)
Notes: Data are quarterly for 1966 through 1972. No data are available
from 1973 through May 1984.
Country: Italy
Begins: January 1940
Sources: League of Nations (1940-43), Instituto di Statistische,
Gazzetta Ufficiale, Rome (1944-46) Banca d’Italia, Bolletino (1946-)
Notes: No data are available from January 1946 through March 1946.
Beginning in 1955, one-year bills are used, and beginning in
September 1973, the series is an average of 3, 6, and 12-month
Treasury bill yields, and in 1982 the series is for 3-month bills
exclusively. Series are also included for 6-month and 12-month
bills.
Country: Jamaica
Begins: January 1953
Sources: Bank of Jamaica, Monthly Statistical Bulletin (1953-)
Country: Japan
Begins: January 1960
Sources: Bank of Japan, Economic Statistics Monthly (1960-79)
Notes: The yield on 3-month t-bills is used through 1979, the auction
rate on 60-day t-bills is used from 1980 through 1985, and the
auction rate on t-bills of 6 months or less (3 months if auctioned)
is used from 1986 on.
Country: Kenya
Begins: January 1972
Sources: Central Bank of Kenya, Economic and Financial Review (1972-)
Country: Latvia
Begins: May 1994
Sources: IMF (1994-)
Country: Lebanon
Begins: January 1982
Sources: Banque du Liban, Monthly Bulletin (1982-)
Country: Lithuania
Begins: September 1994
Sources: IMF (1994-)
Country: Malaysia
Begins: January 1961
Sources: Bank Negara, Quarterly Economic Bulletin (1994-)
Notes: Data are the discount rate on treasury bills by the central bank
for 3-month, 6-month and 12-month treasury bills.
Country: Mexico
Begins: January 1978 and February 1985
Sources: Banco Nacional de Mexico, Indicadores Economicos (1978-)
88
Notes: Data for 3-month bills is weekly beginning in September 1995 and
data for 1-month bills is weekly beginning in 1995.
Country: Namibia
Begins: September 1991
Sources: Bank of Namibia, Quarterly Bulletin (1991-)
Country: Netherlands
Begins: January 1941
Sources: League of Nations (1941-45), Central Bureau of Statistics,
Maandschrift (1946-1988)
Notes: 3-month T-bills are used through 1985. Three 3-month loans to
local authorities are used beginning in 1986 because the issues of
short-term government securities (Dutch Treasury Certificates) are
insignificant as the total amount outstanding of short-term
government securities is usually less than 5% of the total amount
outstanding of government debt.
Country: New Zealand
Begins: March 1978
Sources: Reserve Bank of New Zealand, Bulletin (1978-)
Country: Norway
Begins: February 1992
Sources: Norges Bank, Economic Bulletin (1992-)
Country: Pakistan
Begins: March 1991
Sources: IMF (1991-)
Country: Philippines
Begins: January 1976
Sources: Bangka Sentral Ng Pilipinas, Statistical Bulletin (1976-)
Country: Poland
Begins: January 1990
Sources: IMF (1990-)
Country: Portugal
Begins: April 1985 and January 1989
Sources: Bank of Portugal, Quarterly Bulletin (1985-)
Country: Romania
Begins: April 1994
Sources: IMF (1994-)
Country: Singapore
Begins: January 1988Sources: Monetary Authority of Singapore, Statistical Bulletin (1997-)
Country: Slovak Republic
Begins: February 1993
Sources: National Bank of Slovakia (1978-)
Country: Slovenia
Begins: May 1998
Sources: National Bank of Slovenia (1998-)
Country: South Africa
Begins: January 1936
89
Sources: League of Nations (1936-45), Reserve Bank of South Africa,
Quarterly Bulletin (1946-)
Country: Spain
Begins: February 1992 and January 1979
Sources: Banco d’Espana, Bulletin Mensual, Madrid (1979-)
Country: Sri Lanka
Begins: April 1981
Sources: Central Bank of Sri Lanka, Bulletin (1981-)
Country: Swaziland
Begins: December 1981
Sources: Central Bank of Swaziland, Quarterly Review (1981-)
Country: Sweden
Begins: January 1955, January 1981 and July 1982
Source: Sveriges Riksbank, Quarterly Review, Stockholm (1955-)
Country: Switzerland
Begins: January 1980
Source: Schweizerisches Nationalbank, Monatsbericht, Zurich (1980-)
Country: Taiwan
Begins: December 1995
Source: Central Bank of Taiwan
Notes: Data are for yields on auctions of treasury bills. For months
where no auction occurred, the previous month’s yield is used.
Country: Thailand
Begins: January 1977
Source: Bank of Thailand, Monthly Bulletin (1984-)
Notes: Because of persistent budget surpluses, the government stopped
issuing treasury bills in 1989. No data are available from October
1989 to February 1999.
Country: Trinidad and Tobago
Begins: December 1964
Source: Central Bank of Trinidad and Tobago, Statistical Digest (1964-)
Country: Tunisia
Begins: January 1990
Source: Central Bank of Tunisia
Country: Turkey
Begins: September 1985
Sources: Turkiye Cumhuriyet Merkez Bankasi, Quarterly Bulletin (1985-)
Country: United Kingdom
Begins: January 1900
Sources: V. Morgan, Studies in British Financial Policy, 1914-1925
(1914-1923); Central Statistical Office, Annual Abstract of
Statistics, London: CSO (1924-)
Notes: Data are annual through 1913, and monthly beginning in July 1914.
Data from 1914 through 1923 are based upon weekly auctions’ data, and
in months where no auction occurred, the previous month’s data has
been used.
Country: United States
Begins: February 1935
90
Sources: Board of Governors of the Federal Reserve System, Federal
Reserve Bulletin (1935-)
Notes: The yield on the 90-day and 181-day T-bills is provided.
Country: Zambia
Begins: January 1978
Sources: Bank of Zambia, Quarterly Statistical Review (1978-)
Country: Zimbabwe
Begins: January 1962
Sources: Reserve Bank of Zimbabwe, Monthly Statistical Bulletin (19621977), IMF (1978-)
Notes: Data are annual through 1975.
91
BOND PRICE INDICES
In addition to the yield data provided above, some series for bond
prices are also available. For bond prices before World War I, prices
for government bonds represent the current yield on those shares, so the
original price can be obtained by dividing the coupon rate by the
current yield. The series below have been calculated separately. The
following series are included:
Country
Colombia
Colombia
Colombia
Denmark
France
France
France
Germany
Germany
Germany
Germany
Israel
Israel
Luxembourg
Luxembourg
Mexico
Netherlands
Portugal
Prussia
Prussia
Sri Lanka
United Kingdom
United Kingdom
United Kingdom
United Kingdom
United Kingdom
United Kingdom
United Kingdom
Series
Domestic Bonds
London Bonds
New York Bonds
Bond Index
3% Consols
Fixed Income
Railroad Bonds
4%/3.5% Consols
3s of 1890
Conrad Fixed Inc.
Reichsamt Bonds
Bonds Linked CPI
Bonds Not Linked
Bonds-Government
Bonds-Industrial
Bonds
Bond Index
Fixed Income
4%/3.5% Consols
3% Consols
Government Bonds
Consol Price
L&CES Fixed Inc.
L&CES Fixed Inc.
L&CES Fixed Inc.
Bankers Magazine
Investor’s Chron.
FT-Act. Govt Sec.
Begins
01/1930
01/1934
01/1934
07/1914
02/1826
01/1919
01/1920
07/1877
11/1890
12/1903
01/1928
11/1952
01/1949
05/1929
05/1929
01/1938
01/1975
01/1938
07/1876
10/1890
01/1952
07/1729
01/1867
01/1919
01/1925
12/1880
12/1930
12/1949
92
Ends
12/1968
06/1952
06/1952
03/1960
12/1949
12/1992
12/1936
12/1925
12/1925
02/1914
04/1942
12/1973
12/1973
12/1972
12/1972
01/1968
12/1980
12/1926
12/1925
12/1974
12/1799
06/1914
12/1930
12/1936
07/1966
12/1945
10/1962
File Name
COBBONDM
COBNDUKM
COBNDNYM
DKBONDSM
IGFRA3PM
FRFIXEDM
FRRBONDM
ILDEU4PM
ILDEU3PM
DECFIXM
DERBONDSM
ILXLINKM
ILXNLBDM
LUBGVTM
LUBINDM
MXBONDSM
NLACBDM
PTFIXEDM
IGPRU4PM
IGPRU3PM
LKGOVTM
ILGBRCPM
GBLFIXM
GBLFIX1M
GBLFIX2M
GBBAFINM
GBICFIXM
GBGOVTSW