1
$\begingroup$

Very new to fixed income signals. I am a little confused about which data to use to compare interest rate among different currencies.

For example, I am interested in compare interest rate in the following currencies (countries): USD, EUR, GBP, JPY,CHF,CAD, DKK,NZD,AUD,SEK and NOK. Before 2013, We can get LIBOR for almost all of them (except NOK I believe), but now only first 5 currencies have LIBOR rates updated and I have no idea where to get the interest rate for some currencies such as AUD, NZD. some currencies have their own interbank rate, such as STIBOR for SEK and CIBOR for DKK, are they the right interest rate to use? Also there are more than one IBOR available for some currencies, for example EUR have both LIBOR and EURIBOR, which one should I choose?

What about swap rates? since swap are closely rated to the interbank rate, would swap rate be a better data to use to measure monetary policy of each country? if so, what kind a swap data should I use? Thank you very much!

$\endgroup$
  • $\begingroup$ for what purposes are you planning to perform such comparison? $\endgroup$ – Nicholas Jan 6 '16 at 1:39
1
$\begingroup$

I assume you're doing interest rate parity or currency carry research. The proper interest rates to use in this context are the local deposit rates, preferably OIS (overnight indexed swap) rates. These are readily available for all major currencies nowadays.

$\endgroup$
0
$\begingroup$

Not sure if I understand your question, but if you're looking to analyze the extent to which interest rates differentials drive currencies, you'd probably want to focus on forward interest rate swaps in order to capture market implied expectations. So 1y1y spreads could be meaningful for G10 currencies. You may also want to incorporate yield curve slopes which could be captured by a 2s10s swap differential.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.