3-Month Treasury Constant Maturity Rate

Source:
Board of Governors of Fed Reserve System

Release:
Selected Interest Rates

Units:
Percent, Not Seasonally Adjusted

Frequency:
Daily

Available Through:
12/06/2021

Why Use:

The 3-Month Treasury Bill Rate is the yield received for investing in a government issued treasury security that has a maturity of 3 months. This is indicative of the overall health of the US economy and is considered the base risk-free interest rate.

Suggested Treatment:

The data shows autocorrection and a non-normal distribution. The data should be differenced. While the Order Norm transformation, provides the best normality, the Log variable will also perform well.

Grain Transformation:

Data is unable to be distributed by time or geography. The roll up method used is Weighted Average.

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3-Month Treasury Constant Maturity Rate

Auto Correction Function

Auto Correlation Function After Differencing

Partial Auto Correlation Function

Seasonal Impact

Seasonal and Trend Decompostion

Autocorrectation Analysis:

Data shows autocorrectation indicating a need for differencing

The ACF indicates 1 order differencing is appropriate.

Following first order differencing, no further differencing is required based on the differenced ACF at lag one of -0.50

Trend Analysis:

The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 2.44 p-value = 0.01 indicates that the data is not stationary.

Distribution Analysis:

The Shapiro-Wilk test returned W = 0.75 with a p-value =0.00 indicating the data does not follow a normal distribution.

A skewness score of 1.01 indicates the data are substantially skewed.

Hartigan's dip test score of 0.03 with a p-value of 0.00 inidcates the data is multimodal

Statistics (Pearson P/ df, lower => more normal)

No transform
37.34
Box-cox
NA
Log_b(x-a)
8.63
sqrt(x+a)
16.36
exp(x)
NA
arcsinh(x)
39.21
Yeo-Johnson
24.81
OrderNorm
2.00

Citation:

Board of Governors of the Federal Reserve System (US), 3-Month Treasury Constant Maturity Rate [DGS3MO], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS3MO, December 16, 2019.

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