Analysis
Apply the learning in the 2 weeks of the course to see what the data demonstrates. Here are some examples you can consider.
Have US interest rates become negative?
How close have US rates approached zero?
Have rates reversed themselves?
What do the spreads between Treasuries and Corporates, or between High Quality corporate rates and Baa rates inform us about risk premiums, risk premium, expectations of inflation …?
Covid experience: Focus on the 2020 detailed data to see the behavior of rates in 2020, especially first and second quarter, versus the latest data?
Focus on the behavior of rates and spreads in 2007/2008 during the great recession?
Samples of data series you can work with.
Trends in a specific interest rates (and/or spreads)
Trends in a interest rates (and/or spreads) based on maturity within the same credit risk category,
Trends in rate spreads across credit risk categories
Trends in the data within a specific time period.
When analyzing trends, make sure to include the recession of 2007/08 and the current situation. Therefore, consider the range 2005 to present. Depending on your analysis you can consider monthly and quarterly data that helps you support the analysis.
Sources of Data
The best source for interest rate data is Federal Reserve Economic
Data Series (FRED) published by the St. Louis Federal Reserve. As a start, explore the data series available on FRED.
Treasury Rates: https://fred.stlouisfed.org/searchresults/?nasw=0&st=Treasury%20Yields&t=usa&ob=sr&od=desc&types=gen;geo. Set/filter Geographies to United States.
Corporate rates using Moody’s ratings: https://fred.stlouisfed.org/searchresults/?nasw=0&st=Treasury%20Yields&t=yield%3Bcorporate&ob=sr&od=desc&types=gen
