Bank Prime Loan Rate

Source:
Board of Governors of the Federal Reserve

Release:
Bank Prime Loan Rate

Units:
Percent, Not Seasonally Adjusted

Frequency:
Daily

Available Through:
12/06/2021

Why Use:

The prime loan rate is the interest rate charged by lenders to the most creditworthy corporate customers. The prime rate serves as the starting point for most other interest rates, so is indicative of interest rates in the US.

Suggested Treatment:

The data shows autocorrection and a non-normal distribution. The data should be differenced. While the Untransformed transformation, provides the best normality, the Order Norm 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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Bank Prime Loan 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 = 2.19 p-value = 0.01 indicates that the data is not stationary.

Distribution Analysis:

The Shapiro-Wilk test returned W = 0.77 with a p-value =0.00 indicating the data does not follow a normal distribution.

A skewness score of -0.95 indicates the data are moderately skewed.

Hartigan's dip test score of 0.06 with a p-value of 0.00 inidcates the data is multimodal

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

No transform
53.20
Box-cox
NA
Log_b(x-a)
86.60
sqrt(x+a)
54.82
exp(x)
NA
arcsinh(x)
54.35
Yeo-Johnson
53.46
OrderNorm
53.39

Citation:

Board of Governors of the Federal Reserve System (US), Bank Prime Loan Rate [DPRIME], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DPRIME, December 16, 2019.

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