RDP 2003-05: What do Financial Market Data Tell us About Monetary Policy Transparency? Appendix A: Data

Jonathan Coppel and Ellis Connolly

May 2003

Table A1: Interest Rate Data and Sources
  Policy rate 1-month(a) 3-month(a) 90-day futures(b)
Australia(c) Cash rate: Bulletin Table A.2(d) Bank bills: Bulletin Table F.1 Bank bills: Bulletin Table F.1 Bank Bills: IR1–R8
US(e) Fed funds target rate:
Federal Reserve(f)		 Eurodollar deposits:(g)
Federal Reserve		 Eurodollar deposits:(g)
Federal Reserve		 Eurodollar: ED1–ED8
 
UK Base rates: Bank of England LIBOR: LDNIB1M LIBOR: LDNIB3M LIBOR: L1–L8
Germany/ECB Repo rate: ECB(h)
 		 FIBOR:(g) FIBOR1M and
GERMDRM pre-January 1999		 FIBOR:(g) FIBOR3M and
GERMDRQ pre-January 1999		 EurIBOR: ER1–ER8
 
Japan Target call rate: Bank of Japan Euroyen: ECJAP1M Euroyen: ECJAP3M –
Sweden Repo rate: Sveriges Riksbank
 
 		 StIBOR: SIBOR1M
 
 		 StIBOR: SIBOR3M and STIB3M <index>(b)
pre-December 1992		 –
Canada Target rate: Bank of Canada
 
 		 Bankers acceptances:
Bank of
 		 Bankers acceptances:
Bank of Canada and
ECCAD3M pre-January 1990		 Bankers acceptances:
BA1–BA8
 
NZ Cash rate: RBNZ Bank bills: RBNZ Bank bills: RBNZ Bank bills: ZB1–ZB8

Notes: (a) Codes from Thomson Financial Datastream.
(b) Codes from Bloomberg.
(c) 180-day bank bills obtained from Bulletin Table F.1; 3-, 5- and 10-year bonds obtained from Bulletin Table F.2.
(d) RBA internal data prior to 1990.
(e) Six-month Eurodollar deposits, 3-, 5- and 10-year constant maturity bonds obtained from Federal Reserve website.
(f) Dungy and Hayward (2000) used prior to 1990.
(g) The response to policy moves is lagged one day since policy moves announced after market rate is measured.
(h) Deutsche Bundesbank repo rate used before 1999 from annual reports, with average of Lombard and discount rates used before April 1996, as in Hardy (1998).