Tag Info

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 ...

I think you may have made a mistake in your interpretation of #1. Putting aside Akshay's concerns (which are actually quite relevant), you can find commercial paper data and other relevant interest rates at the Federal Reserve's H15 data release page. There you will find CP rate data for financial and non-financial firms, as well as the 3 month Treasury ...

This may have been correct earlier on - but now, with the CP market all but frozen up, this is not such a good indicator. Moreover, corporate credit is quite robust these days and still, we are talking of an impending recession - simply put, the credit risk has passed on to the sovereigns. Hence a better proxy would be municipal paper/peripehral EU bonds vs ...

The author's article does not predict constant interest rates. On the contrary, "...if nothing is politically accomplished in reducing our long-term debt liabilities, a large risk premium could be established in Treasury securities." The reason why this is the case is because in interest rates (R in the equation) adjust so that the quantity borrowed and ...