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The old 3-Month Commercial Paper Rate (CP3M) on FRED was discontinued in 1997. I would like to reconstruct this series in a reasonable fashion, so I can use it to analyze more recent events.

I was thinking of using some combination of 3-Month AA Financial Commercial Paper Rate (CPF3M) and 3-Month AA Nonfinancial Commercial Paper Rate (CPN3M), but I'm unsure how to weight them.

Any suggestions?

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You should read the Fed's about page on CP. –  Tal Fishman Aug 9 '11 at 15:20
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1 Answer

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Take a basket of "similar" interest rates from the Fed's H.15 data page which have sufficient (at least a few years) data both before and after the 1997 discontinuation date. Run a regression of the old CP rate on those variables, derive a fitted CP rate, extrapolate the fitted CP rate past 1997, then regress the fitted CP rate on the two new CP rates. Use the coefficients from this regression, perhaps excluding the constant and perhaps normalizing the coefficients to be weights that sum to 1.

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