Basic information on financial databases: cook books, tips and tricks & economic news

This blog contains schematic easy to grasp - hands on - help in performing searches in economic databases, making work sets and making them inter-exchangeable between the databases.

* Disclaimer. I am not a finance professional. Most posts are the result of personal findings.

All presented images are scaled and can be enlarged to original size (click the picture).

Search This Blog


Interest Rates, related instruments and databases

(*Note*: for some information links an user connection to Thomson Financial is required, e.g. to Datastream extranet)
Datastream says the following on interest rates and exchange rates:
Interest rates: 20,000+ time series updated daily, with history starting in the 1980s. 
Covered are money market instruments like treasury bills and bonds, LIBOR and other interbanks, certificates of deposits, repo rates and central bank policy rates (various currencies)
Exchange rates: 5,000+ daily rates, 20 years, 168 currencies. Against US dollar and vice versa and e.g. euro.
Datastream Extranet provides a page on this topic. (accessible to Datastream users) > link

Among them an overview (link) of Risk Free rates.
Also see this blog item: link

And a list of Interest Rates in Excel, with an overview of national, international, eurozone, LIBORS, ICAP and government and corporate bond yields: link

The WRDS portal gives access the the FAMA French & Liquidity Factors.
Risk Free rates can be found in daily with output code RF.
From WRDS website: 
Q:  Accessing a Daily "Risk Rate Free" Series that can be Used in CAPM Models
A: The easiest way is via our Fama-French Factors page located at:Fama French Factors Daily. The 'Risk Free Rate' is labelled "RF (One Month Treasury Bill Rate)". 

FAMA daily factors

Steps1, setting time window:  (clickable calendar), mind it's daily data
Step 2, selecting the factors (RF)
Step 3, output format > tip: always do TAB delimited

As for T-Bill Bonds in WRDS
Three month Tbill:
Not in Wharton, but in OptionMetrics (not subscribed) has the Stock Option data and PHLX (Philadelphia Stock Exchange) contains Currency Option data (subscribed).
Check CBOE website (for interest rates) < not in Wharton
CBOE (Chicago Board Options Exchange) in Wharton: (subscribed) > Volatility Index (VIX) < click

3 month money market and short term US t-bill:
CRSP daily treasury (treasury daily) - calendar file  and short term rate (government) (not subscribed)
Also Federal Reserve Bank St. Louis (FRED) for interest rates. (registering is free)
Looking on the Wbsite (search field interest rate > link 3 month treasury bill market rate >

This website provides a nice overview of databases with interest rates and risk fee (link)
Another feature of this website is that it offers historic data, going back many years.
Among them: GFD, Global Financial Database.
Registering for an academic account appears to be free.

To try it out I searched for Netherlands, commodities, prices. This is a short overview of results.

At this point remarks show up you haven't got access.
I am not sure if the provided e-mail results in bills.
But I guess that this resource may be interesting for historisc economic research.

No comments:

Post a Comment