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Historical US Interest Rate Data and Proxy Series

Article Quant Q&A · Author: Username
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Summary

The document addresses where to find long-run US savings-account and short-term Treasury bill rates. It explains that savings rates vary by bank because institutions set their own rates and terms, making a single historical series difficult to define. It also states that four-week Treasury bills began trading in July 2001, so that instrument cannot provide a direct record reaching back to the 1960s or 1970s.

As an alternative, the answer recommends the federal funds yield, an overnight interbank rate, and points to recent Federal Reserve Bank of New York data and historical observations on FRED extending back to 1954. This is a practical proxy suggestion, not a claim that the federal funds rate equals savings yields or Treasury bill rates. Researchers should account for the difference in instrument, maturity, and rate-setting process when using it in a historical analysis.

Key ideas

  • Savings account rates differ among banks, which complicates construction of a single long-run series.
  • Four-week Treasury bills are available only from their stated start of trading in July 2001.
  • The federal funds yield is suggested as a related rate series for longer historical coverage.
  • Historical federal funds data are reported as available back to 1954, but the series is not identical to savings or bill rates.

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Fixed incomeUS marketsStatistics
Full text
# Where can I find data on US bank interest rates or 4-week T-bill rates dating back to 1970s or earlier?


# Where can I find data on US bank interest rates or 4-week T-bill rates dating back to 1970s or earlier?












Where can I find data showing 4-week T-bill rates or U.S. savings accounts' interest rates from 1960s to present, or 1970s to present?

## Answer by TraderPatrick (score 1, accepted)

https://quant.stackexchange.com/a/40979

Since each bank is able to set their own rates and terms for savings accounts, this is a difficult question.

4 week Treasury Bills only started trading in July 2001. Source: https://www.treasurydirect.gov/indiv/research/history/histtime/histtime_bills.htm

You might want to look at the Federal Funds Yield which is the overnight rate that banks charge each other for loans held at the Federal Reserve Bank of New York.

Recent data is available here: https://www.newyorkfed.org/data-and-statistics

Historical data can be found on the FRED site back to 1954. https://fred.stlouisfed.org/data/FEDFUNDS.txt

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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