Hyungsik Roger Moon and Benoit Perron, "An Empirical Analysis of
Nonstationarity in a Panel of Interest Rates with Factors", Journal of
Applied Econometrics, Vol. 22, No. 2, 2007, pp. 383-400.
The data are various interest rates in Canada and the United States. The
sample is January, 1985 to April, 2004, for a total of 232 observations for
each rate. The Canadian rates are for the last Wednesday of each month and
were taken from CANSIM. The US rates are monthly averages and were obtained
from FRED.
There are two data files, both of which are ASCII files in DOS format. They
are both zipped in the file mp-data.zip. Unix users should use "unzip -a".
The Canadian yields are in the file canratesm.txt. There are 14 Canadian
yields (with CANSIM codes), one in each column:
1 month Federal Treasury bill (V122529)
3-month Federal Treasury bill (V122531)
6-month Federal Treasury bill (V122532)
1-year Federal Treasury bill (V122533)
Federal government bonds with 2 years to maturity (V122538)
Federal government bonds with 3 years to maturity (V122539)
Federal government bonds with 5 years to maturity (V122540)
Federal government bonds with 7 years to maturity (V122542)
Federal government bonds with 10 years to maturity (V122543)
Prime corporate paper rate with a maturity of 1 month (V122509)
Commercial paper rate with a maturity of 3 months (V122491)
Bankers' acceptances with maturity of 1 month (V122504)
Scotia Capital average of yields on corporate bonds with long-term
maturities (V122518)
Scotia Capital average of yields on corporate bonds with mid-term
maturities (V122519)
The 11 U.S. yields are in the file usratesm.txt:
Moody's Seasoned Aaa Corporate Bond Yield
Moody's Seasoned Baa Corporate Bond Yield
1-month Commercial Paper (until August 1997) and 1-Month AA Financial
Commercial Paper Rate (starting September 1997)
Treasury securities constant maturity: 1 year
Treasury securities constant maturity: 10 years
Treasury securities constant maturity: 2 years
Treasury securities constant maturity: 3 years
Treasury securities constant maturity: 3 months
Treasury securities constant maturity: 5 years
Treasury securities constant maturity: 6 months
Treasury securities constant maturity: 7 years
In both files, the first column contains the date.
Benoit Perron
Dépt. de sciences économiques
Université de Montréal
C.P. 6128, succ. Centre-ville
Montréal, Québec H3C 3J7
CANADA
E-mail: benoit.perron [AT] umontreal.ca
Web: http://mapageweb.umontreal.ca/perrob/
Researcher, CIREQ
CIRANO