TED Interest Rate Spread

Source:
Board of Governors of Fed Reserve System

Release:
Selected Interest Rates

Units:
Percent, Not Seasonally Adjusted

Frequency:
Daily

Available Through:
11/30/2021

Why Use:

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.

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 Yeo Johnson 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.

Connect to this
Data Set Now

Ready Signal automates the process of sourcing, normalizing, and applying data science treatments to this data and other impactful control data. Create an account today.

TED Interest Rate Spread

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 -0.38

Trend Analysis:

The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 1.24 p-value = 0.01 indicates that the data is not stationary.

Distribution Analysis:

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)

No transform
6.11
Box-cox
NA
Log_b(x-a)
27.69
sqrt(x+a)
7.25
exp(x)
NA
arcsinh(x)
5.83
Yeo-Johnson
5.72
OrderNorm
1.91

Citation:

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.

Take the next step

SIGN UP FREE