| intqrt | R Documentation |
Wooldridge Source: From Salomon Brothers, Analytical Record of Yields and Yield Spreads, 1990. The folks at Salomon Brothers kindly provided the Record at no charge when I was an assistant professor at MIT. Data loads lazily.
data('intqrt')
A data.frame with 124 observations on 23 variables:
r3: bond equiv. yield, 3 mo T-bill
r6: bond equiv. yield, 6 mo T-bill
r12: yield on 1 yr. bond
p3: price of 3 mo. T-bill
p6: price of 6 mo. T-bill
hy6: 100*(p3 - p6[_n-1])/p6[_n-1])
hy3: r3*(91/365)
spr63: r6 - r3
hy3_1: hy3[_n-1]
hy6_1: hy6[_n-1]
spr63_1: spr63[_n-1]
hy6hy3_1: hy6 - hy3_1
cr3: r3 - r3_1
r3_1: r3[_n-1]
chy6: hy6 - hy6_1
chy3: hy3 - hy3_1
chy6_1: chy6[_n-1]
chy3_1: chy3[_n-1]
cr6: r6 - r6_1
cr6_1: cr6[_n-1]
cr3_1: cr3[_n-1]
r6_1: r6[_n-1]
cspr63: spr63 - spr63_1
A nice feature of the Salomon Brothers data is that the interest rates are not averaged over a month or quarter – they are end-of-month or end-of-quarter rates. Asset pricing theories apply to such “point-sampled” data, and not to averages over a period. Most other sources report monthly or quarterly averages. This is a good data set to update and test whether current data are more or less supportive of basic asset pricing theories.
Used in Text: pages 405-406, 641, 646-647, 650, 652, 672, 673
https://www.cengage.com/cgi-wadsworth/course_products_wp.pl?fid=M20b&product_isbn_issn=9781111531041
str(intqrt)