Board of Governors of Fed Reserve System
Selected Interest Rates
Percent, Not Seasonally Adjusted
The TED spread measures the difference between the interest rate on risk free debt, short-term US government treasury bills, and the interest rate on interbank loans. This indicates credit risk in the US.
The data shows autocorrection and a non-normal distribution. The data should be differenced. While the Order Norm transformation, provides the best normality, the Yeo Johnson variable will also perform well.
Data is unable to be distributed by time or geography. The roll up method used is Weighted Average.
TED Interest Rate Spread
Auto Correction Function
Auto Correlation Function After Differencing
Partial Auto Correlation Function
Seasonal and Trend Decompostion
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 -0.38
The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 1.24 p-value = 0.01 indicates that the data is not stationary.
The Shapiro-Wilk test returned W = 0.95 with a p-value =0.00 indicating the data does not follow a normal distribution.
A skewness score of 0.14 indicates the data are fairly symmetrical.
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)
Federal Reserve Bank of St. Louis, TED Spread [TEDRATE], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/TEDRATE, December 15, 2019.