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.
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])
spr63: r6 - r3
hy6hy3_1: hy6 - hy3_1
cr3: r3 - r3_1
chy6: hy6 - hy6_1
chy3: hy3 - hy3_1
cr6: r6 - r6_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
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