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Using Short-Term Treasury Bill Rates as a Cash Rate Proxy

Article Quant Q&A · Author: Aspiring Quant
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Summary

The document addresses where to find historical US savings account interest rates and suggests using four-week Treasury bill rates as a proxy for US dollar cash interest. It points readers toward Federal Reserve historical interest-rate data. The rationale offered is that returns on short-dated domestic government debt are commonly treated as a reasonable approximation of the risk-free rate.

This is a practical data-source suggestion rather than a comparison of bank deposit rates or a detailed historical analysis. Treasury bill yields can serve as a convenient benchmark for short-term USD cash in quantitative work, but the document does not establish that they match savings account rates. It provides no discussion of differences in timing, compounding, access, or deposit-specific terms, and it contains no performance evidence.

Key ideas

  • Four-week US Treasury bill rates are suggested as a proxy for US dollar cash interest.
  • The Federal Reserve is identified as a source for historical rate data.
  • Short-dated government debt returns are presented as a common risk-free-rate proxy.
  • Treasury bill rates are not shown to equal actual savings account rates.

Tags

Fixed incomeUS marketsStatistics
Full text
# Were can I find Historical Interest Rate Data?


# Were can I find Historical Interest Rate Data?












Where can I find American historical Savings Account interest (Bank) rates? If you can, please attach corresponding links.

## Answer by Chris Degnen (score 1, accepted)

https://quant.stackexchange.com/a/10991

4-week US Treasury bill rates would give you a good proxy for USD cash interest.

You can download them from here: http://www.federalreserve.gov/releases/h15/data.htm

"The return on domestically held short-dated government bonds is normally perceived as a good proxy for the risk free rate." - wikipedia

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.