2
$\begingroup$

I would like to calculate funding liquidity following Asness/Moskowitz/Pedersen (2013). Among others, they calculate the LIBOR minus term repo rate, and the Swap-T-bill, LIBOR minus interest rate swaps. I checked the FRED homepage and CRSP for the term repo rate and interest swap rate and found numerous different versions of both variables.

Are there any industry standards in research which particular data (e.g. Swap for 1y or 30y) I should choose for these two variables?

$\endgroup$
  • $\begingroup$ could you provide a link to the article ? $\endgroup$ – MJ73550 Jul 20 '16 at 9:50
1
$\begingroup$

Here you go.

On Page 935

"A.4. Global Government Bonds Bond index returns come from Bloomberg and Morgan Markets, short rates and 10-year government bond yields are from Bloomberg, and inflation forecasts are obtained from investment bank analysts’ estimates as compiled by Consensus Economics. We obtain government bond data for the following 10 countries: Australia, Canada, Denmark, Germany, Japan, Norway, Sweden, Switzerland, the United Kingdom, and the United States over the period January 1982 to July 2011, where the minimum number of country bond returns is 5 at any point in time and all 10 country bonds are available after 1990."

Orginial Data 2016 : Value and Momentum Everywhere: Original Paper Data

Or "TED spread (3 month LIBOR minus 3 month T-bill rate), U.S., U.K., Japan, Germany (Bloomberg and International Fund Services (IFS))": Ted Spread

Or "Summary of “Value and Momentum Everywhere” Columbia:

Funding liquidity risks are measured by Treasury-Eurodollar spread (TED), LIBOR-term repo spread, and Swap-T-bill spread. Higher spreads indicate tighter funding constraints for financial institutions who usually are the marginal investors or the market makers in the asset markets.

$\endgroup$
0
$\begingroup$

If you have access to Bloomberg, I'd look at their generic tickers (for 10Y swap, I think it's USSWP10 Curncy).

Otherwise, I'd use the St. Louis FRED database and search for your rates there.

$\endgroup$

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.