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Interest-Rate Data

Date Effective Fed Funds 3-MO. T-Bill (Secondary Mkt.) 6-MO. T-Bill (Secondary Mkt.) 1-Yr. Treasury (Constant Maturity Rate) 2-Yr. Treasury (Constant Maturity Rate) 3-Yr. Treasury (Constant Maturity Rate) 5-Yr. Treasury (Constant Maturity Rate) 7-Yr. Treasury (Constant Maturity Rate) 10-Yr. Treasury (Constant Maturity Rate) 20-Yr. Treasury (Constant Maturity Rate) 30-Yr. Treasury (Constant Maturity Rate) Aaa Corporate Bond Baa Corporate Bond Bank Prime Loan Rate 1-Mo. CD (Secondary Market Rate) 3-Mo. CD (Secondary Market Rate) 6-Mo. CD (Secondary Market Rate) 1-Month AA Financial Commercial Paper Rate 2-Mo. AA Nonfinancial Commercial Paper Rate 3-Mo. AA Financial Commercial Paper Rate Primary Credit Rate
2007-01-01 0.0517 0.0489 0.0490 0.0490 0.0482 0.0474 0.0470 0.0470 0.0471 0.0491 0.0481 0.0546 0.0635 0.0825 0.0530 0.0532 0.0532 0.0523 0.0523 0.0523 0.0625
2007-01-02 0.0530 0.0494 0.0491 0.0491 0.0480 0.0471 0.0468 0.0468 0.0468 0.0487 0.0479 0.0534 0.0632 0.0825 0.0530 0.0532 0.0532 0.0526 0.0523 0.0524 0.0625
2007-01-03 0.0528 0.0492 0.0490 0.0490 0.0476 0.0469 0.0466 0.0466 0.0467 0.0485 0.0477 0.0532 0.0628 0.0825 0.0530 0.0531 0.0531 0.0524 0.0519 0.0523 0.0625
2007-01-04 0.0524 0.0491 0.0488 0.0488 0.0471 0.0463 0.0461 0.0461 0.0462 0.0481 0.0472 0.0528 0.0624 0.0825 0.0529 0.0532 0.0532 0.0524 0.0519 0.0523 0.0625
2007-01-05 0.0521 0.0492 0.0490 0.0490 0.0476 0.0468 0.0465 0.0465 0.0465 0.0484 0.0474 0.0529 0.0625 0.0825 0.0529 0.0532 0.0533 0.0525 0.0518 0.0521 0.0625
2007-01-06 0.0521 0.0495 0.0490 0.0490 0.0476 0.0468 0.0465 0.0465 0.0465 0.0484 0.0474 0.0529 0.0625 0.0825 0.0529 0.0532 0.0533 0.0525 0.0518 0.0521 0.0625
2007-01-07 0.0521 0.0495 0.0490 0.0490 0.0476 0.0468 0.0465 0.0465 0.0465 0.0484 0.0474 0.0529 0.0625 0.0825 0.0529 0.0532 0.0533 0.0525 0.0518 0.0521 0.0625
2007-01-08 0.0523 0.0496 0.0493 0.0493 0.0478 0.0470 0.0466 0.0466 0.0466 0.0484 0.0474 0.0529 0.0625 0.0825 0.0530 0.0531 0.0532 0.0525 0.0518 0.0523 0.0625
2007-01-09 0.0525 0.0498 0.0493 0.0493 0.0479 0.0470 0.0465 0.0465 0.0466 0.0483 0.0474 0.0529 0.0625 0.0825 0.0529 0.0531 0.0532 0.0525 0.0525 0.0524 0.0625
2007-01-10 0.0526 0.0496 0.0493 0.0493 0.0481 0.0472 0.0468 0.0468 0.0469 0.0487 0.0477 0.0532 0.0628 0.0825 0.0530 0.0532 0.0533 0.0525 0.0525 0.0523 0.0625
2007-01-11 0.0527 0.0496 0.0495 0.0495 0.0486 0.0478 0.0473 0.0473 0.0474 0.0492 0.0482 0.0537 0.0633 0.0825 0.0529 0.0532 0.0533 0.0525 0.0517 0.0524 0.0625
2007-01-12 0.0522 0.0498 0.0496 0.0496 0.0488 0.0481 0.0476 0.0476 0.0477 0.0496 0.0486 0.0541 0.0636 0.0825 0.0529 0.0532 0.0534 0.0524 0.0517 0.0524 0.0625
2007-01-13 0.0522 0.0499 0.0496 0.0496 0.0488 0.0481 0.0476 0.0476 0.0477 0.0496 0.0486 0.0541 0.0636 0.0825 0.0529 0.0532 0.0534 0.0524 0.0517 0.0524 0.0625
2007-01-14 0.0522 0.0499 0.0496 0.0496 0.0488 0.0481 0.0476 0.0476 0.0477 0.0496 0.0486 0.0541 0.0636 0.0825 0.0529 0.0532 0.0534 0.0524 0.0517 0.0524 0.0625
2007-01-15 0.0522 0.0501 0.0496 0.0496 0.0488 0.0481 0.0476 0.0476 0.0477 0.0496 0.0486 0.0541 0.0636 0.0825 0.0529 0.0532 0.0534 0.0524 0.0517 0.0524 0.0625
2007-01-16 0.0528 0.0500 0.0496 0.0496 0.0486 0.0479 0.0474 0.0474 0.0475 0.0494 0.0485 0.0539 0.0634 0.0825 0.0529 0.0531 0.0533 0.0525 0.0521 0.0524 0.0625
2007-01-17 0.0525 0.0501 0.0496 0.0496 0.0491 0.0483 0.0478 0.0478 0.0479 0.0498 0.0488 0.0543 0.0637 0.0825 0.0529 0.0532 0.0535 0.0524 0.0521 0.0524 0.0625
2007-01-18 0.0523 0.0500 0.0496 0.0496 0.0489 0.0480 0.0475 0.0475 0.0475 0.0494 0.0485 0.0540 0.0633 0.0825 0.0529 0.0532 0.0536 0.0525 0.0521 0.0524 0.0625
2007-01-19 0.0525 0.0501 0.0497 0.0497 0.0493 0.0483 0.0478 0.0478 0.0478 0.0496 0.0487 0.0541 0.0635 0.0825 0.0529 0.0532 0.0534 0.0525 0.0521 0.0524 0.0625
2007-01-20 0.0525 0.0500 0.0497 0.0497 0.0493 0.0483 0.0478 0.0478 0.0478 0.0496 0.0487 0.0541 0.0635 0.0825 0.0529 0.0532 0.0534 0.0525 0.0521 0.0524 0.0625
2007-01-21 0.0525 0.0501 0.0497 0.0497 0.0493 0.0483 0.0478 0.0478 0.0478 0.0496 0.0487 0.0541 0.0635 0.0825 0.0529 0.0532 0.0534 0.0525 0.0521 0.0524 0.0625
2007-01-22 0.0524 0.0500 0.0498 0.0498 0.0491 0.0482 0.0477 0.0476 0.0476 0.0494 0.0484 0.0540 0.0633 0.0825 0.0529 0.0531 0.0534 0.0524 0.0521 0.0524 0.0625
2007-01-23 0.0526 0.0499 0.0498 0.0498 0.0494 0.0485 0.0481 0.0481 0.0481 0.0500 0.0490 0.0545 0.0638 0.0825 0.0529 0.0532 0.0535 0.0524 0.0521 0.0524 0.0625
2007-01-24 0.0527 0.0500 0.0497 0.0497 0.0493 0.0485 0.0481 0.0481 0.0481 0.0500 0.0491 0.0546 0.0638 0.0825 0.0529 0.0532 0.0535 0.0524 0.0518 0.0524 0.0625
2007-01-25 0.0531 0.0501 0.0498 0.0498 0.0498 0.0490 0.0485 0.0485 0.0487 0.0506 0.0496 0.0551 0.0643 0.0825 0.0529 0.0532 0.0536 0.0525 0.0519 0.0524 0.0625
2007-01-26 0.0526 0.0502 0.0498 0.0498 0.0499 0.0491 0.0487 0.0487 0.0488 0.0507 0.0498 0.0553 0.0644 0.0825 0.0529 0.0532 0.0537 0.0525 0.0518 0.0525 0.0625
2007-01-27 0.0526 0.0501 0.0498 0.0498 0.0499 0.0491 0.0487 0.0487 0.0488 0.0507 0.0498 0.0553 0.0644 0.0825 0.0529 0.0532 0.0537 0.0525 0.0518 0.0525 0.0625
2007-01-28 0.0526 0.0502 0.0498 0.0498 0.0499 0.0491 0.0487 0.0487 0.0488 0.0507 0.0498 0.0553 0.0644 0.0825 0.0529 0.0532 0.0537 0.0525 0.0518 0.0525 0.0625
2007-01-29 0.0526 0.0503 0.0499 0.0499 0.0499 0.0493 0.0489 0.0489 0.0490 0.0509 0.0499 0.0554 0.0645 0.0825 0.0529 0.0532 0.0537 0.0524 0.0518 0.0524 0.0625
2007-01-30 0.0523 0.0502 0.0498 0.0498 0.0498 0.0490 0.0486 0.0486 0.0488 0.0507 0.0498 0.0553 0.0644 0.0825 0.0528 0.0532 0.0535 0.0525 0.0518 0.0524 0.0625
2007-01-31 0.0533 0.0504 0.0496 0.0496 0.0494 0.0485 0.0482 0.0482 0.0483 0.0502 0.0493 0.0548 0.0640 0.0825 0.0529 0.0532 0.0536 0.0524 0.0517 0.0523 0.0625
2007-02-01
2007-02-02
2007-02-03
2007-02-04
2007-02-05
2007-02-06
2007-02-07
2007-02-08
2007-02-09
2007-02-10
2007-02-11
2007-02-12
2007-02-13
2007-02-14
2007-02-15
2007-02-16
2007-02-17
2007-02-18
2007-02-19
2007-02-20
2007-02-21
2007-02-22
2007-02-23
2007-02-24
2007-02-25
2007-02-26
2007-02-27
2007-02-28
2007-03-01
2007-03-02
2007-03-03
2007-03-04
2007-03-05
2007-03-06
2007-03-07
2007-03-08
2007-03-09
2007-03-10
2007-03-11
2007-03-12
2007-03-13
2007-03-14
2007-03-15
2007-03-16
2007-03-17
2007-03-18
2007-03-19
2007-03-20
2007-03-21
2007-03-22
2007-03-23
2007-03-24
2007-03-25
2007-03-26
2007-03-27
2007-03-28
2007-03-29
2007-03-30
2007-03-31
Mean Return Mean Return Mean Return Mean Return Mean Return Mean Return Mean Return Mean Return Mean Return Mean Return Mean Return Mean Return Mean Return Mean Return Mean Return Mean Return Mean Return Mean Return Mean Return Mean Return Mean Return
0.05248387 0.04983226 0.04949677 0.04949677 0.04878065 0.04796452 0.04754516 0.04754194 0.04760968 0.04948065 0.04853548 0.05406129 0.06345484 0.08250000 0.05291290 0.05318387 0.05340968 0.05245806 0.05194516 0.05236129 0.06250000
Indicates no data gaps Indicates no data gaps Indicates weekends and Indicates weekends and Indicates weekends and Indicates weekends and Indicates weekends and Indicates weekends and Indicates weekends and Indicates weekends and Indicates weekends and Indicates weekends and Indicates weekends and Indicates weekends and Indicates weekends and Indicates weekends and Indicates weekends and Indicates weekends and Indicates weekends and Indicates weekends and Indicates weekends and
additional days missing additional days missing additional days missing additional days missing additional days missing additional days missing additional days missing additional days missing additional days missing additional days missing additional days missing additional days missing additional days missing additional days missing additional days missing additional days missing additional days missing additional days missing additional days missing
Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return Truncated Mean Return
0.0525 0.0498 0.0495 0.0495 0.0488 0.0480 0.0475 0.0475 0.0476 0.0495 0.0485 0.0541 0.0635 0.0825 0.0529 0.0532 0.0534 0.0525 0.0519 0.0524 0.0625
&CStage 1 Ex-Post Assessment
&CPage 14

Variance-Covariance Matrix

Column 1 Column 2 Column 3 Column 4 Column 5 Column 6 Column 7 Column 8 Column 9 Column 10 Column 11 Column 12 Column 13 Column 14 Column 15 Column 16 Column 17 Column 18 Column 19 Column 20 Column 21
Column 1 0.0000001026
Column 2 0.0000000492 0.000000139
Column 3 0.0000000322 0.0000001062 0.0000000984
Column 4 0.0000000322 0.0000001062 0.0000000984 0.0000000984
Column 5 0.0000000897 0.0000002619 0.0000002422 0.0000002422 0.0000006699
Column 6 0.0000000843 0.0000002592 0.0000002409 0.0000002409 0.0000006651 0.0000006694
Column 7 0.0000000859 0.0000002427 0.0000002234 0.0000002234 0.0000006315 0.0000006364 0.0000006109
Column 8 0.0000000862 0.0000002422 0.0000002224 0.0000002224 0.0000006305 0.0000006357 0.0000006104 0.0000006102
Column 9 0.0000000898 0.0000002465 0.0000002262 0.0000002262 0.0000006441 0.000000652 0.000000626 0.000000626 0.0000006454
Column 10 0.0000000858 0.0000002451 0.0000002257 0.0000002257 0.0000006516 0.0000006619 0.0000006373 0.0000006376 0.0000006576 0.0000006732
Column 11 0.0000000954 0.000000246 0.0000002246 0.0000002246 0.0000006533 0.0000006619 0.0000006387 0.0000006392 0.000000659 0.0000006739 0.0000006784
Column 12 0.0000000684 0.0000002112 0.000000205 0.000000205 0.0000006257 0.000000636 0.000000615 0.0000006152 0.0000006365 0.000000656 0.0000006581 0.0000006714
Column 13 0.0000000673 0.000000175 0.0000001666 0.0000001666 0.0000004953 0.0000005048 0.0000004866 0.0000004871 0.0000005043 0.0000005185 0.000000521 0.0000005183 0.0000004109
Column 14 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Column 15 0.0000000005 -0.0000000091 -0.0000000067 -0.0000000067 -0.0000000168 -0.000000017 -0.0000000161 -0.000000016 -0.0000000166 -0.0000000168 -0.0000000166 -0.0000000137 -0.000000011 0 0.0000000018
Column 16 -0.0000000012 0.0000000018 0.0000000016 0.0000000016 0.0000000094 0.0000000091 0.0000000094 0.0000000097 0.0000000098 0.000000011 0.0000000106 0.000000011 0.0000000089 0 -0.0000000004 0.0000000014
Column 17 0.000000015 0.00000005 0.0000000416 0.0000000416 0.0000001205 0.0000001213 0.000000118 0.000000118 0.0000001202 0.0000001234 0.0000001229 0.0000001159 0.0000000904 0 -0.0000000037 0.0000000027 0.000000028
Column 18 0.0000000058 0.0000000023 -0.0000000001 -0.0000000001 -0.0000000011 -0.0000000034 -0.0000000033 -0.0000000031 -0.0000000038 -0.000000005 -0.0000000037 -0.0000000097 -0.0000000051 0 -0.0000000001 -0 0.0000000001 0.0000000037
Column 19 0.000000004 -0.0000000189 -0.0000000131 -0.0000000131 -0.0000000382 -0.0000000503 -0.000000053 -0.0000000535 -0.0000000559 -0.0000000607 -0.0000000577 -0.0000000479 -0.0000000422 0 0.0000000039 -0.0000000022 -0.000000013 0.0000000025 0.0000000528
Column 20 0.0000000116 0.0000000229 0.0000000237 0.0000000237 0.0000000596 0.0000000593 0.0000000543 0.0000000542 0.0000000562 0.0000000557 0.0000000575 0.000000055 0.0000000457 0 -0.0000000008 0 0.0000000088 -0 0.0000000014 0.0000000101
Column 21 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
0.0000001026 0.0000000492 0.0000000322 0.0000000322 0.0000000897 0.0000000843 0.0000000859 0.0000000862 0.0000000898 0.0000000858 0.0000000954 0.0000000684 0.0000000673 0 0.0000000005 -0.0000000012 0.000000015 0.0000000058 0.000000004 0.0000000116 0
0.0000000492 0.000000139 0.0000001062 0.0000001062 0.0000002619 0.0000002592 0.0000002427 0.0000002422 0.0000002465 0.0000002451 0.000000246 0.0000002112 0.000000175 0 -0.0000000091 0.0000000018 0.00000005 0.0000000023 -0.0000000189 0.0000000229 0
0.0000000322 0.0000001062 0.0000000984 0.0000000984 0.0000002422 0.0000002409 0.0000002234 0.0000002224 0.0000002262 0.0000002257 0.0000002246 0.000000205 0.0000001666 0 -0.0000000067 0.0000000016 0.0000000416 -0.0000000001 -0.0000000131 0.0000000237 0
0.0000000322 0.0000001062 0.0000000984 0.0000000984 0.0000002422 0.0000002409 0.0000002234 0.0000002224 0.0000002262 0.0000002257 0.0000002246 0.000000205 0.0000001666 0 -0.0000000067 0.0000000016 0.0000000416 -0.0000000001 -0.0000000131 0.0000000237 0
0.0000000897 0.0000002619 0.0000002422 0.0000002422 0.0000006699 0.0000006651 0.0000006315 0.0000006305 0.0000006441 0.0000006516 0.0000006533 0.0000006257 0.0000004953 0 -0.0000000168 0.0000000094 0.0000001205 -0.0000000011 -0.0000000382 0.0000000596 0
0.0000000843 0.0000002592 0.0000002409 0.0000002409 0.0000006651 0.0000006694 0.0000006364 0.0000006357 0.000000652 0.0000006619 0.0000006619 0.000000636 0.0000005048 0 -0.000000017 0.0000000091 0.0000001213 -0.0000000034 -0.0000000503 0.0000000593 0
0.0000000859 0.0000002427 0.0000002234 0.0000002234 0.0000006315 0.0000006364 0.0000006109 0.0000006104 0.000000626 0.0000006373 0.0000006387 0.000000615 0.0000004866 0 -0.0000000161 0.0000000094 0.000000118 -0.0000000033 -0.000000053 0.0000000543 0
0.0000000862 0.0000002422 0.0000002224 0.0000002224 0.0000006305 0.0000006357 0.0000006104 0.0000006102 0.000000626 0.0000006376 0.0000006392 0.0000006152 0.0000004871 0 -0.000000016 0.0000000097 0.000000118 -0.0000000031 -0.0000000535 0.0000000542 0
0.0000000898 0.0000002465 0.0000002262 0.0000002262 0.0000006441 0.000000652 0.000000626 0.000000626 0.0000006454 0.0000006576 0.000000659 0.0000006365 0.0000005043 0 -0.0000000166 0.0000000098 0.0000001202 -0.0000000038 -0.0000000559 0.0000000562 0
0.0000000858 0.0000002451 0.0000002257 0.0000002257 0.0000006516 0.0000006619 0.0000006373 0.0000006376 0.0000006576 0.0000006732 0.0000006739 0.000000656 0.0000005185 0 -0.0000000168 0.000000011 0.0000001234 -0.000000005 -0.0000000607 0.0000000557 0
0.0000000954 0.000000246 0.0000002246 0.0000002246 0.0000006533 0.0000006619 0.0000006387 0.0000006392 0.000000659 0.0000006739 0.0000006784 0.0000006581 0.000000521 0 -0.0000000166 0.0000000106 0.0000001229 -0.0000000037 -0.0000000577 0.0000000575 0
0.0000000684 0.0000002112 0.000000205 0.000000205 0.0000006257 0.000000636 0.000000615 0.0000006152 0.0000006365 0.000000656 0.0000006581 0.0000006714 0.0000005183 0 -0.0000000137 0.000000011 0.0000001159 -0.0000000097 -0.0000000479 0.000000055 0
0.0000000673 0.000000175 0.0000001666 0.0000001666 0.0000004953 0.0000005048 0.0000004866 0.0000004871 0.0000005043 0.0000005185 0.000000521 0.0000005183 0.0000004109 0 -0.000000011 0.0000000089 0.0000000904 -0.0000000051 -0.0000000422 0.0000000457 0
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
0.0000000005 -0.0000000091 -0.0000000067 -0.0000000067 -0.0000000168 -0.000000017 -0.0000000161 -0.000000016 -0.0000000166 -0.0000000168 -0.0000000166 -0.0000000137 -0.000000011 0 0.0000000018 -0.0000000004 -0.0000000037 -0.0000000001 0.0000000039 -0.0000000008 0
-0.0000000012 0.0000000018 0.0000000016 0.0000000016 0.0000000094 0.0000000091 0.0000000094 0.0000000097 0.0000000098 0.000000011 0.0000000106 0.000000011 0.0000000089 0 -0.0000000004 0.0000000014 0.0000000027 -0 -0.0000000022 0 0
0.000000015 0.00000005 0.0000000416 0.0000000416 0.0000001205 0.0000001213 0.000000118 0.000000118 0.0000001202 0.0000001234 0.0000001229 0.0000001159 0.0000000904 0 -0.0000000037 0.0000000027 0.000000028 0.0000000001 -0.000000013 0.0000000088 0
0.0000000058 0.0000000023 -0.0000000001 -0.0000000001 -0.0000000011 -0.0000000034 -0.0000000033 -0.0000000031 -0.0000000038 -0.000000005 -0.0000000037 -0.0000000097 -0.0000000051 0 -0.0000000001 -0 0.0000000001 0.0000000037 0.0000000025 -0 0
0.000000004 -0.0000000189 -0.0000000131 -0.0000000131 -0.0000000382 -0.0000000503 -0.000000053 -0.0000000535 -0.0000000559 -0.0000000607 -0.0000000577 -0.0000000479 -0.0000000422 0 0.0000000039 -0.0000000022 -0.000000013 0.0000000025 0.0000000528 0.0000000014 0
0.0000000116 0.0000000229 0.0000000237 0.0000000237 0.0000000596 0.0000000593 0.0000000543 0.0000000542 0.0000000562 0.0000000557 0.0000000575 0.000000055 0.0000000457 0 -0.0000000008 0 0.0000000088 -0 0.0000000014 0.0000000101 0
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0