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Choosing Interest Rate Data for Cross-Currency Research

Article Quant Q&A · Author: user6396
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Summary

The document discusses which interest rate series to compare across currencies when researching rate differentials and foreign exchange. The question notes that interbank benchmarks differ by currency, that some IBOR series have changed availability, and that more than one benchmark may exist for a currency. It asks whether local interbank rates or swap rates are more appropriate for comparing monetary policy or building signals.

One answer recommends local deposit rates, preferably overnight indexed swap rates, for interest rate parity or currency carry work. Another suggests forward interest rate swaps when the goal is to capture market-implied expectations, with forward spreads and curve-slope differentials as possible measures. These suggestions serve different research aims: current deposit or OIS rates for rate differentials, and forward swaps for anticipated rates. The replies are brief and do not prescribe a universal benchmark, specify data vendors, or address consistency, tenor alignment, or historical availability across all currencies.

Key ideas

  • Choose rates based on the research question, such as carry, parity, or market-implied policy expectations.
  • Local deposit rates, preferably OIS rates, are suggested for cross-currency rate comparisons in carry or parity research.
  • Forward swap rates can represent market expectations and may be compared across currencies.
  • Swap curve slope differentials can provide an additional signal about expected rate paths.
  • The answers do not settle benchmark choice or data consistency for every currency and period.

Tags

Fixed incomeForexCarryMulti-asset
Full text
# what data to use to compare the interest rate among different currencies?


# what data to use to compare the interest rate among different currencies?












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!

## Answer by Helin (score 1)

https://quant.stackexchange.com/a/22609

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.

## Answer by abstract (score 0)

https://quant.stackexchange.com/a/20665

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.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.