RDP 9104: Cross-Country Relationship Between Interest Rates and Inflation over Three Decades Appendix 1: Data Sources
June 1991
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1. Interest Rate Data
(a) Short-term interest rates | |
Australia | 1970–1989: 90 day bank bill rate (RBA). |
Austria | 1970–1989: Rate on one day interbank loans among banks in Vienna (IFS). |
Belgium | 1961–1989: Rate on 3 month Treasury certificates (MEI). |
Canada | 1961–1969: 3 month Treasury bill rate (MEI). |
Denmark | 1973–1989: Interbank deposit rate (IFS). |
France | 1961–1989: Rate on day-to-day loans against private bills (IFS). |
Germany | 1961–1989: Rate on 3 month loans (Frankfurt) (MEI). |
Ireland | 1970–1989: Rate on 3 month Treasury bill (MEI). |
Italy | 1961–1973: 12 month Treasury bill rate (MEI/OECD Financial Statistics). 1974–1989: 6 month Treasury bill rate (MEI). |
Japan | 1961–1989: Lending rate for unconditional loans in the Tokyo call money market (IFS). |
Netherlands | 1961–1989: Rate on 3 month loans to local authorities (MEI). |
New Zealand | 1974-June 1987: 90 day commercial bill rate (RBNZ). July 1987–1989: 90 day bank bill rate (RBNZ). |
Norway | 1973–1989: Money market rate (IFS). |
Spain | 1975–1989: One day interbank rate (IFS). |
Sweden | 1961–1989: Rate on 3 month Treasury discount notes (IFS and OP8A). |
Switzerland | 1961–1989: Rate on 3 month deposits (MEI). |
United Kingdom | 1961–1989: 3 month Treasury bill rate (MEI). |
United States | 1961–1989: 3 month Treasury bill rate (MEI). |
Sources: | IFS: International Financial Statistics, International Monetary Fund. MEI: Main Economic Indicators, OECD. RBA: Reserve Bank of Australia Bulletin. RBNZ: Reserve Bank of New Zealand Bulletin. OP8A: Occasional Paper No. 8A, Reserve Bank of Australia. |
(b) Government security yields | |
Australia | 13 week Treasury note rate (RBA). |
Austria | Rate on Treasury bill of unknown maturity (MEI). |
Belgium | As above. |
Canada | As above. |
Ireland | As above. |
Italy | Three month Treasury bill rate (IFS). |
Japan | Three month Gensaki rate (MEI). |
Netherlands | Three month Treasury bill rate (IFS). |
Sweden | As above. |
Switzerland | Rate on Treasury bill of unknown maturity (IFS). |
United Kingdom | As above. |
United States | As above. |
(c) Long-term interest rates | |
* Data from OECD Main Economic Indicators. | |
All data is from the International Financial Statistics (IMF), Item 61 – Long-Term Government Bond Yield except where noted. | |
Austria | 1970 – 1989: Yield on all government bonds issued and not yet redeemed. |
Australia | 1961-May 1981: Yield on 20 year bond (theoretical yield). June 81 – 1989: Yield on 15 year bond (secondary market). |
Belgium | 1961 – 1989: Yield on bonds with maturity of 5 years or over (weighted average yield to maturity). |
Canada | 1961–1989: Yield on issues with original maturity of 10 years or over. |
Denmark | 1961–1989: Yield of 3.5 per cent perpetual bond of 1886. |
France | 1961–1989: Average yield to maturity of National Equipment bonds of 1965, 1966, 1967. |
Germany | 1961-Jan 1977: Yield on bonds with remaining life of more than 4 years (weighted
average yield to maturity). Feb 1977–1989: Yield on bonds with remaining life of more than 3 years (weighted average yield to maturity). |
Ireland | 1961–1989: Yield on typical government bond. |
Italy | 1961–1989: Yield on 15–20 year bonds (average yield to redemption). |
Japan* | 1970–1989: Yield on 7 year bonds (arithmetic average yield to maturity). |
Netherlands | 1961–1989: Yield on central government bonds. |
New Zealand | 1961–1989: Yield on government bonds of 10 years or more. |
Norway | 1961–1989 : Yield to maturity of the 5 per cent bond of 1961, callable. Beginning 1986, data relate to yield on bonds with 17 years to maturity. |
Spain | 1980–1989: Simple monthly average of daily yields of bonds with maturity over 2 years. |
Sweden* | 1961–1989: Yield on 5 year government bond. |
Switzerland | 1961–1989: Yield on bonds of 5 years or more (weighted average). |
United Kingdom | 1961 – 1989: Yield on 20 year bonds (theoretical gross redemption yields). |
United States | 1961–1989: Yield on 10 year constant maturity bonds. |
2. Inflation
All data on inflation are derived from consumer price indexes for the individual countries. All CPI data are from the OECD Main Economic Indicators except for Australia and New Zealand. Australian data are adjusted for Medibank and Medicare effects (source: Reserve Bank of Australia Bulletin). New Zealand CPI data exclude the effects of the goods and services tax (source: Reserve Bank of New Zealand).
Footnote
The data are available from the authors on request. [*]