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Anyone knows where can I get monthly 3m T-Bill rates before 1934?
- Thread starter Daal
- Start date
CRSP but why do you need that old data?
I dont want to pay thousands to get the data. I need it for researchCRSP but why do you need that old data?
cool, how much does it cost?
wiki says first 3m bills were issued at an auction in 1929, so you're not missing much. Between around 1917 and 1929 you had fixed rate tenders that resulted in oversubscription cus the coupons were set too high. Prior to that there was no need in short-term paper (src: wiki).
https://en.wikipedia.org/wiki/United_States_Treasury_security#History
If you're okay with subscription prices only and not prices from secondary market, you can harvest those from treasury annual reports. For example, page 321 from the pdf here says 2.75% annualized for 3m issued on 17.12.1929 , https://fraser.stlouisfed.org/scrib...ocs/publications/treasar/AR_TREASURY_1930.pdf
https://en.wikipedia.org/wiki/United_States_Treasury_security#History
If you're okay with subscription prices only and not prices from secondary market, you can harvest those from treasury annual reports. For example, page 321 from the pdf here says 2.75% annualized for 3m issued on 17.12.1929 , https://fraser.stlouisfed.org/scrib...ocs/publications/treasar/AR_TREASURY_1930.pdf