RDP 9307: Explaining Forward Discount Bias: Is it Anchoring? Data Appendix

David W. R. Gruen and Marianne C. Gizycki

June 1993

To calibrate the model, we use weekly observations of these interest rate series:

USA 3 month Treasury Bill rate, 2 November 1979 – 15 March 1991.
UK 3 month Treasury Bill rate, 2 November 1979 – 15 March 1991.
Germany 3 month Interbank rate, 2 November 1979 – 15 March 1991.
Japan 3 month Gensaki rate, 6 February 1981 – 15 March 1991.

All data are from the International Department of the Reserve Bank of Australia, with the exception of the Gensaki rate from 22 April 1988 to 15 March 1991, which was supplied by the Sydney Office of the Mitsubishi Bank of Australia.[33]

Footnote

The Gensaki rate is chosen as it provided the longest available consistent weekly interest rate series. A Gensaki is a bond transaction with a repurchase agreement. Gensaki transactions accounted for more than half of the Japanese bond market volume in the second half of the 1970s. However, during the 1980s the Gensaki volume has varied between ten and thirty per cent of total bond trading volume (Japanese Securities Research Institute (1990)). [33]