RDP 9104: Cross-Country Relationship Between Interest Rates and Inflation over Three Decades Appendix 1: Data Sources

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. [*]