goptions reset=all; footnote " " ; title " " ; /* Title: 3-Month Treasury Bill Rate: Auction Average (DISCONTINUED SERIES) Series ID: TB3MA Source: Board of Governors of the Federal Reserve System Release: H.15 Selected Interest Rates Seasonal Adjustment: Not Applicable Frequency: Monthly Units: Percent Date Range: 1941-02-01 to 2000-06-01 Last Updated: 2000-06-01 12:00 AM CT Notes: Averages of Business Days, Discount Basis **DISCONTINUED** */ %let trim = if year(date)>1963; options symbolgen; data three; input year 1-4 month 6-7 day 9-10 rate3; date = mdy(month,day,year); format date monyy.; cards; 1941-02-01 0.03 1941-03-01 0.09 1941-04-01 0.09 1941-05-01 0.08 1941-06-01 0.09 1941-07-01 0.10 1941-08-01 0.11 1941-09-01 0.05 1941-10-01 0.05 1941-11-01 0.24 1941-12-01 0.30 1942-01-01 0.21 1942-02-01 0.25 1942-03-01 0.21 1942-04-01 0.30 1942-05-01 0.36 1942-06-01 0.36 1942-07-01 0.37 1942-08-01 0.37 1942-09-01 0.37 1942-10-01 0.37 1942-11-01 0.37 1942-12-01 0.36 1943-01-01 0.37 1943-02-01 0.37 1943-03-01 0.37 1943-04-01 0.37 1943-05-01 0.37 1943-06-01 0.37 1943-07-01 0.37 1943-08-01 0.38 1943-09-01 0.38 1943-10-01 0.38 1943-11-01 0.38 1943-12-01 0.38 1944-01-01 0.37 1944-02-01 0.38 1944-03-01 0.38 1944-04-01 0.38 1944-05-01 0.38 1944-06-01 0.38 1944-07-01 0.38 1944-08-01 0.38 1944-09-01 0.38 1944-10-01 0.38 1944-11-01 0.38 1944-12-01 0.38 1945-01-01 0.38 1945-02-01 0.38 1945-03-01 0.38 1945-04-01 0.38 1945-05-01 0.38 1945-06-01 0.38 1945-07-01 0.38 1945-08-01 0.38 1945-09-01 0.38 1945-10-01 0.38 1945-11-01 0.38 1945-12-01 0.38 1946-01-01 0.38 1946-02-01 0.38 1946-03-01 0.38 1946-04-01 0.38 1946-05-01 0.38 1946-06-01 0.38 1946-07-01 0.38 1946-08-01 0.38 1946-09-01 0.38 1946-10-01 0.38 1946-11-01 0.38 1946-12-01 0.38 1947-01-01 0.38 1947-02-01 0.38 1947-03-01 0.38 1947-04-01 0.38 1947-05-01 0.38 1947-06-01 0.38 1947-07-01 0.64 1947-08-01 0.74 1947-09-01 0.79 1947-10-01 0.84 1947-11-01 0.92 1947-12-01 0.95 1948-01-01 0.97 1948-02-01 0.99 1948-03-01 1.00 1948-04-01 1.00 1948-05-01 1.00 1948-06-01 1.00 1948-07-01 1.00 1948-08-01 1.03 1948-09-01 1.09 1948-10-01 1.12 1948-11-01 1.14 1948-12-01 1.15 1949-01-01 1.16 1949-02-01 1.16 1949-03-01 1.16 1949-04-01 1.16 1949-05-01 1.15 1949-06-01 1.16 1949-07-01 0.98 1949-08-01 1.02 1949-09-01 1.06 1949-10-01 1.04 1949-11-01 1.06 1949-12-01 1.10 1950-01-01 1.09 1950-02-01 1.13 1950-03-01 1.14 1950-04-01 1.16 1950-05-01 1.17 1950-06-01 1.17 1950-07-01 1.17 1950-08-01 1.21 1950-09-01 1.31 1950-10-01 1.33 1950-11-01 1.36 1950-12-01 1.37 1951-01-01 1.39 1951-02-01 1.39 1951-03-01 1.42 1951-04-01 1.52 1951-05-01 1.58 1951-06-01 1.50 1951-07-01 1.59 1951-08-01 1.64 1951-09-01 1.65 1951-10-01 1.61 1951-11-01 1.61 1951-12-01 1.73 1952-01-01 1.69 1952-02-01 1.57 1952-03-01 1.66 1952-04-01 1.62 1952-05-01 1.71 1952-06-01 1.70 1952-07-01 1.82 1952-08-01 1.88 1952-09-01 1.79 1952-10-01 1.78 1952-11-01 1.86 1952-12-01 2.13 1953-01-01 2.04 1953-02-01 2.02 1953-03-01 2.08 1953-04-01 2.18 1953-05-01 2.20 1953-06-01 2.23 1953-07-01 2.10 1953-08-01 2.09 1953-09-01 1.88 1953-10-01 1.40 1953-11-01 1.43 1953-12-01 1.63 1954-01-01 1.21 1954-02-01 0.98 1954-03-01 1.05 1954-04-01 1.01 1954-05-01 0.78 1954-06-01 0.65 1954-07-01 0.71 1954-08-01 0.89 1954-09-01 1.01 1954-10-01 0.99 1954-11-01 0.95 1954-12-01 1.17 1955-01-01 1.26 1955-02-01 1.18 1955-03-01 1.33 1955-04-01 1.62 1955-05-01 1.49 1955-06-01 1.43 1955-07-01 1.62 1955-08-01 1.88 1955-09-01 2.09 1955-10-01 2.26 1955-11-01 2.22 1955-12-01 2.56 1956-01-01 2.46 1956-02-01 2.37 1956-03-01 2.31 1956-04-01 2.61 1956-05-01 2.65 1956-06-01 2.53 1956-07-01 2.33 1956-08-01 2.61 1956-09-01 2.85 1956-10-01 2.96 1956-11-01 3.00 1956-12-01 3.23 1957-01-01 3.21 1957-02-01 3.16 1957-03-01 3.14 1957-04-01 3.11 1957-05-01 3.04 1957-06-01 3.32 1957-07-01 3.16 1957-08-01 3.40 1957-09-01 3.58 1957-10-01 3.59 1957-11-01 3.34 1957-12-01 3.10 1958-01-01 2.60 1958-02-01 1.56 1958-03-01 1.35 1958-04-01 1.13 1958-05-01 1.05 1958-06-01 0.88 1958-07-01 0.96 1958-08-01 1.69 1958-09-01 2.48 1958-10-01 2.79 1958-11-01 2.76 1958-12-01 2.81 1959-01-01 2.84 1959-02-01 2.71 1959-03-01 2.85 1959-04-01 2.96 1959-05-01 2.85 1959-06-01 3.25 1959-07-01 3.24 1959-08-01 3.36 1959-09-01 4.00 1959-10-01 4.12 1959-11-01 4.21 1959-12-01 4.57 1960-01-01 4.44 1960-02-01 3.96 1960-03-01 3.44 1960-04-01 3.25 1960-05-01 3.39 1960-06-01 2.64 1960-07-01 2.40 1960-08-01 2.29 1960-09-01 2.49 1960-10-01 2.43 1960-11-01 2.39 1960-12-01 2.27 1961-01-01 2.30 1961-02-01 2.41 1961-03-01 2.42 1961-04-01 2.33 1961-05-01 2.29 1961-06-01 2.36 1961-07-01 2.27 1961-08-01 2.40 1961-09-01 2.30 1961-10-01 2.35 1961-11-01 2.46 1961-12-01 2.62 1962-01-01 2.75 1962-02-01 2.76 1962-03-01 2.72 1962-04-01 2.74 1962-05-01 2.70 1962-06-01 2.72 1962-07-01 2.94 1962-08-01 2.84 1962-09-01 2.79 1962-10-01 2.75 1962-11-01 2.80 1962-12-01 2.86 1963-01-01 2.91 1963-02-01 2.92 1963-03-01 2.90 1963-04-01 2.91 1963-05-01 2.92 1963-06-01 3.00 1963-07-01 3.14 1963-08-01 3.32 1963-09-01 3.38 1963-10-01 3.45 1963-11-01 3.52 1963-12-01 3.52 1964-01-01 3.53 1964-02-01 3.53 1964-03-01 3.55 1964-04-01 3.48 1964-05-01 3.48 1964-06-01 3.48 1964-07-01 3.48 1964-08-01 3.51 1964-09-01 3.53 1964-10-01 3.58 1964-11-01 3.62 1964-12-01 3.86 1965-01-01 3.83 1965-02-01 3.93 1965-03-01 3.94 1965-04-01 3.93 1965-05-01 3.90 1965-06-01 3.81 1965-07-01 3.83 1965-08-01 3.84 1965-09-01 3.91 1965-10-01 4.03 1965-11-01 4.08 1965-12-01 4.36 1966-01-01 4.60 1966-02-01 4.67 1966-03-01 4.63 1966-04-01 4.61 1966-05-01 4.64 1966-06-01 4.54 1966-07-01 4.86 1966-08-01 4.93 1966-09-01 5.36 1966-10-01 5.39 1966-11-01 5.34 1966-12-01 5.01 1967-01-01 4.76 1967-02-01 4.56 1967-03-01 4.29 1967-04-01 3.86 1967-05-01 3.64 1967-06-01 3.48 1967-07-01 4.31 1967-08-01 4.27 1967-09-01 4.45 1967-10-01 4.59 1967-11-01 4.76 1967-12-01 5.01 1968-01-01 5.08 1968-02-01 4.97 1968-03-01 5.15 1968-04-01 5.37 1968-05-01 5.62 1968-06-01 5.55 1968-07-01 5.38 1968-08-01 5.09 1968-09-01 5.20 1968-10-01 5.34 1968-11-01 5.49 1968-12-01 5.92 1969-01-01 6.18 1969-02-01 6.16 1969-03-01 6.08 1969-04-01 6.16 1969-05-01 6.08 1969-06-01 6.49 1969-07-01 7.01 1969-08-01 7.01 1969-09-01 7.13 1969-10-01 7.04 1969-11-01 7.20 1969-12-01 7.72 1970-01-01 7.92 1970-02-01 7.16 1970-03-01 6.71 1970-04-01 6.48 1970-05-01 7.03 1970-06-01 6.74 1970-07-01 6.47 1970-08-01 6.41 1970-09-01 6.24 1970-10-01 5.93 1970-11-01 5.29 1970-12-01 4.86 1971-01-01 4.49 1971-02-01 3.78 1971-03-01 3.33 1971-04-01 3.78 1971-05-01 4.14 1971-06-01 4.70 1971-07-01 5.41 1971-08-01 5.08 1971-09-01 4.67 1971-10-01 4.49 1971-11-01 4.19 1971-12-01 4.02 1972-01-01 3.41 1972-02-01 3.18 1972-03-01 3.72 1972-04-01 3.72 1972-05-01 3.65 1972-06-01 3.87 1972-07-01 4.06 1972-08-01 4.01 1972-09-01 4.65 1972-10-01 4.72 1972-11-01 4.78 1972-12-01 5.06 1973-01-01 5.31 1973-02-01 5.56 1973-03-01 6.05 1973-04-01 6.29 1973-05-01 6.35 1973-06-01 7.19 1973-07-01 8.02 1973-08-01 8.67 1973-09-01 8.48 1973-10-01 7.16 1973-11-01 7.87 1973-12-01 7.37 1974-01-01 7.76 1974-02-01 7.06 1974-03-01 7.99 1974-04-01 8.23 1974-05-01 8.43 1974-06-01 8.15 1974-07-01 7.75 1974-08-01 8.75 1974-09-01 8.37 1974-10-01 7.24 1974-11-01 7.59 1974-12-01 7.18 1975-01-01 6.49 1975-02-01 5.59 1975-03-01 5.55 1975-04-01 5.69 1975-05-01 5.32 1975-06-01 5.20 1975-07-01 6.17 1975-08-01 6.46 1975-09-01 6.38 1975-10-01 6.08 1975-11-01 5.47 1975-12-01 5.50 1976-01-01 4.96 1976-02-01 4.85 1976-03-01 5.05 1976-04-01 4.88 1976-05-01 5.19 1976-06-01 5.45 1976-07-01 5.28 1976-08-01 5.15 1976-09-01 5.08 1976-10-01 4.93 1976-11-01 4.81 1976-12-01 4.36 1977-01-01 4.60 1977-02-01 4.66 1977-03-01 4.61 1977-04-01 4.54 1977-05-01 4.94 1977-06-01 5.00 1977-07-01 5.14 1977-08-01 5.50 1977-09-01 5.77 1977-10-01 6.19 1977-11-01 6.16 1977-12-01 6.06 1978-01-01 6.45 1978-02-01 6.46 1978-03-01 6.32 1978-04-01 6.31 1978-05-01 6.43 1978-06-01 6.71 1978-07-01 7.08 1978-08-01 7.04 1978-09-01 7.84 1978-10-01 8.13 1978-11-01 8.79 1978-12-01 9.12 1979-01-01 9.35 1979-02-01 9.27 1979-03-01 9.46 1979-04-01 9.49 1979-05-01 9.58 1979-06-01 9.05 1979-07-01 9.27 1979-08-01 9.45 1979-09-01 10.18 1979-10-01 11.47 1979-11-01 11.87 1979-12-01 12.07 1980-01-01 12.04 1980-02-01 12.82 1980-03-01 15.53 1980-04-01 14.00 1980-05-01 9.15 1980-06-01 7.00 1980-07-01 8.13 1980-08-01 9.26 1980-09-01 10.32 1980-10-01 11.58 1980-11-01 13.89 1980-12-01 15.66 1981-01-01 14.73 1981-02-01 14.91 1981-03-01 13.48 1981-04-01 13.63 1981-05-01 16.29 1981-06-01 14.56 1981-07-01 14.70 1981-08-01 15.61 1981-09-01 14.95 1981-10-01 13.87 1981-11-01 11.27 1981-12-01 10.93 1982-01-01 12.41 1982-02-01 13.78 1982-03-01 12.49 1982-04-01 12.82 1982-05-01 12.15 1982-06-01 12.11 1982-07-01 11.92 1982-08-01 9.01 1982-09-01 8.20 1982-10-01 7.75 1982-11-01 8.04 1982-12-01 8.02 1983-01-01 7.81 1983-02-01 8.13 1983-03-01 8.30 1983-04-01 8.25 1983-05-01 8.19 1983-06-01 8.82 1983-07-01 9.12 1983-08-01 9.39 1983-09-01 9.05 1983-10-01 8.71 1983-11-01 8.71 1983-12-01 8.96 1984-01-01 8.93 1984-02-01 9.03 1984-03-01 9.08 1984-04-01 9.69 1984-05-01 9.90 1984-06-01 9.94 1984-07-01 10.13 1984-08-01 10.49 1984-09-01 10.41 1984-10-01 9.97 1984-11-01 8.79 1984-12-01 8.16 1985-01-01 7.76 1985-02-01 8.17 1985-03-01 8.57 1985-04-01 8.00 1985-05-01 7.56 1985-06-01 7.01 1985-07-01 7.05 1985-08-01 7.18 1985-09-01 7.08 1985-10-01 7.17 1985-11-01 7.20 1985-12-01 7.07 1986-01-01 7.04 1986-02-01 7.03 1986-03-01 6.59 1986-04-01 6.06 1986-05-01 6.12 1986-06-01 6.21 1986-07-01 5.84 1986-08-01 5.57 1986-09-01 5.19 1986-10-01 5.18 1986-11-01 5.35 1986-12-01 5.49 1987-01-01 5.45 1987-02-01 5.59 1987-03-01 5.56 1987-04-01 5.76 1987-05-01 5.75 1987-06-01 5.69 1987-07-01 5.78 1987-08-01 6.00 1987-09-01 6.32 1987-10-01 6.40 1987-11-01 5.81 1987-12-01 5.80 1988-01-01 5.90 1988-02-01 5.69 1988-03-01 5.69 1988-04-01 5.92 1988-05-01 6.27 1988-06-01 6.50 1988-07-01 6.73 1988-08-01 7.02 1988-09-01 7.23 1988-10-01 7.34 1988-11-01 7.68 1988-12-01 8.09 1989-01-01 8.29 1989-02-01 8.48 1989-03-01 8.83 1989-04-01 8.70 1989-05-01 8.40 1989-06-01 8.22 1989-07-01 7.92 1989-08-01 7.91 1989-09-01 7.72 1989-10-01 7.63 1989-11-01 7.65 1989-12-01 7.64 1990-01-01 7.64 1990-02-01 7.76 1990-03-01 7.87 1990-04-01 7.78 1990-05-01 7.78 1990-06-01 7.74 1990-07-01 7.66 1990-08-01 7.44 1990-09-01 7.38 1990-10-01 7.19 1990-11-01 7.07 1990-12-01 6.81 1991-01-01 6.30 1991-02-01 5.95 1991-03-01 5.91 1991-04-01 5.67 1991-05-01 5.51 1991-06-01 5.60 1991-07-01 5.58 1991-08-01 5.39 1991-09-01 5.25 1991-10-01 5.03 1991-11-01 4.60 1991-12-01 4.12 1992-01-01 3.84 1992-02-01 3.84 1992-03-01 4.05 1992-04-01 3.81 1992-05-01 3.66 1992-06-01 3.70 1992-07-01 3.28 1992-08-01 3.14 1992-09-01 2.97 1992-10-01 2.84 1992-11-01 3.14 1992-12-01 3.25 1993-01-01 3.06 1993-02-01 2.95 1993-03-01 2.97 1993-04-01 2.89 1993-05-01 2.96 1993-06-01 3.10 1993-07-01 3.05 1993-08-01 3.05 1993-09-01 2.96 1993-10-01 3.04 1993-11-01 3.12 1993-12-01 3.08 1994-01-01 3.02 1994-02-01 3.21 1994-03-01 3.52 1994-04-01 3.74 1994-05-01 4.19 1994-06-01 4.18 1994-07-01 4.39 1994-08-01 4.50 1994-09-01 4.64 1994-10-01 4.96 1994-11-01 5.25 1994-12-01 5.64 1995-01-01 5.81 1995-02-01 5.80 1995-03-01 5.73 1995-04-01 5.67 1995-05-01 5.70 1995-06-01 5.50 1995-07-01 5.47 1995-08-01 5.41 1995-09-01 5.26 1995-10-01 5.30 1995-11-01 5.35 1995-12-01 5.16 1996-01-01 5.02 1996-02-01 4.87 1996-03-01 4.96 1996-04-01 4.99 1996-05-01 5.02 1996-06-01 5.11 1996-07-01 5.17 1996-08-01 5.09 1996-09-01 5.15 1996-10-01 5.01 1996-11-01 5.03 1996-12-01 4.87 1997-01-01 5.05 1997-02-01 5.00 1997-03-01 5.14 1997-04-01 5.17 1997-05-01 5.13 1997-06-01 4.92 1997-07-01 5.07 1997-08-01 5.13 1997-09-01 4.97 1997-10-01 4.95 1997-11-01 5.15 1997-12-01 5.16 1998-01-01 5.09 1998-02-01 5.11 1998-03-01 5.03 1998-04-01 5.00 1998-05-01 5.03 1998-06-01 4.99 1998-07-01 4.96 1998-08-01 4.94 1998-09-01 4.74 1998-10-01 4.08 1998-11-01 4.44 1998-12-01 4.42 1999-01-01 4.34 1999-02-01 4.45 1999-03-01 4.48 1999-04-01 4.28 1999-05-01 4.51 1999-06-01 4.59 1999-07-01 4.60 1999-08-01 4.76 1999-09-01 4.73 1999-10-01 4.88 1999-11-01 5.07 1999-12-01 5.23 2000-01-01 5.34 2000-02-01 5.57 2000-03-01 5.72 2000-04-01 5.67 2000-05-01 5.92 2000-06-01 5.74 ; /* Title: 6-Month Treasury Bill Rate: Auction Average (DISCONTINUED SERIES) Series ID: TB6MA Source: Board of Governors of the Federal Reserve System Release: H.15 Selected Interest Rates Seasonal Adjustment: Not Applicable Frequency: Monthly Units: Percent Date Range: 1960-01-01 to 2000-06-01 Last Updated: 2000-06-01 12:00 AM CT Notes: Averages of Business Days, Discount Basis **DISCONTINUED** */ data six; input year 1-4 month 6-7 day 9-10 rate6; date = mdy(month,day,year); format date monyy.; cards; 1960-01-01 4.84 1960-02-01 4.32 1960-03-01 3.69 1960-04-01 3.55 1960-05-01 3.69 1960-06-01 2.91 1960-07-01 2.83 1960-08-01 2.58 1960-09-01 2.80 1960-10-01 2.85 1960-11-01 2.65 1960-12-01 2.53 1961-01-01 2.50 1961-02-01 2.60 1961-03-01 2.59 1961-04-01 2.50 1961-05-01 2.44 1961-06-01 2.55 1961-07-01 2.46 1961-08-01 2.67 1961-09-01 2.69 1961-10-01 2.70 1961-11-01 2.68 1961-12-01 2.88 1962-01-01 2.97 1962-02-01 2.96 1962-03-01 2.88 1962-04-01 2.84 1962-05-01 2.79 1962-06-01 2.81 1962-07-01 3.09 1962-08-01 3.01 1962-09-01 2.95 1962-10-01 2.86 1962-11-01 2.88 1962-12-01 2.91 1963-01-01 2.96 1963-02-01 2.97 1963-03-01 2.95 1963-04-01 2.99 1963-05-01 3.01 1963-06-01 3.08 1963-07-01 3.27 1963-08-01 3.44 1963-09-01 3.50 1963-10-01 3.58 1963-11-01 3.65 1963-12-01 3.67 1964-01-01 3.65 1964-02-01 3.67 1964-03-01 3.74 1964-04-01 3.68 1964-05-01 3.62 1964-06-01 3.57 1964-07-01 3.57 1964-08-01 3.62 1964-09-01 3.67 1964-10-01 3.73 1964-11-01 3.79 1964-12-01 3.97 1965-01-01 3.95 1965-02-01 4.01 1965-03-01 4.00 1965-04-01 3.99 1965-05-01 3.95 1965-06-01 3.87 1965-07-01 3.88 1965-08-01 3.94 1965-09-01 4.05 1965-10-01 4.20 1965-11-01 4.24 1965-12-01 4.52 1966-01-01 4.73 1966-02-01 4.82 1966-03-01 4.83 1966-04-01 4.74 1966-05-01 4.82 1966-06-01 4.70 1966-07-01 4.99 1966-08-01 5.19 1966-09-01 5.80 1966-10-01 5.65 1966-11-01 5.61 1966-12-01 5.11 1967-01-01 4.79 1967-02-01 4.56 1967-03-01 4.24 1967-04-01 3.90 1967-05-01 3.81 1967-06-01 3.82 1967-07-01 4.80 1967-08-01 4.82 1967-09-01 4.97 1967-10-01 5.10 1967-11-01 5.29 1967-12-01 5.56 1968-01-01 5.39 1968-02-01 5.15 1968-03-01 5.29 1968-04-01 5.48 1968-05-01 5.79 1968-06-01 5.65 1968-07-01 5.48 1968-08-01 5.22 1968-09-01 5.25 1968-10-01 5.40 1968-11-01 5.62 1968-12-01 6.02 1969-01-01 6.31 1969-02-01 6.31 1969-03-01 6.22 1969-04-01 6.17 1969-05-01 6.15 1969-06-01 6.73 1969-07-01 7.28 1969-08-01 7.20 1969-09-01 7.32 1969-10-01 7.30 1969-11-01 7.57 1969-12-01 7.79 1970-01-01 7.86 1970-02-01 7.25 1970-03-01 6.60 1970-04-01 6.57 1970-05-01 7.26 1970-06-01 6.91 1970-07-01 6.55 1970-08-01 6.53 1970-09-01 6.45 1970-10-01 6.25 1970-11-01 5.42 1970-12-01 4.85 1971-01-01 4.51 1971-02-01 3.81 1971-03-01 3.43 1971-04-01 3.93 1971-05-01 4.37 1971-06-01 4.89 1971-07-01 5.58 1971-08-01 5.36 1971-09-01 4.93 1971-10-01 4.63 1971-11-01 4.34 1971-12-01 4.20 1972-01-01 3.66 1972-02-01 3.59 1972-03-01 4.09 1972-04-01 4.22 1972-05-01 4.07 1972-06-01 4.27 1972-07-01 4.59 1972-08-01 4.53 1972-09-01 5.09 1972-10-01 5.12 1972-11-01 5.08 1972-12-01 5.29 1973-01-01 5.53 1973-02-01 5.75 1973-03-01 6.43 1973-04-01 6.53 1973-05-01 6.62 1973-06-01 7.24 1973-07-01 8.08 1973-08-01 8.70 1973-09-01 8.54 1973-10-01 7.26 1973-11-01 7.82 1973-12-01 7.45 1974-01-01 7.63 1974-02-01 6.88 1974-03-01 7.83 1974-04-01 8.17 1974-05-01 8.50 1974-06-01 8.23 1974-07-01 8.03 1974-08-01 8.85 1974-09-01 8.60 1974-10-01 7.56 1974-11-01 7.55 1974-12-01 7.09 1975-01-01 6.53 1975-02-01 5.68 1975-03-01 5.64 1975-04-01 6.01 1975-05-01 5.65 1975-06-01 5.47 1975-07-01 6.49 1975-08-01 6.94 1975-09-01 6.87 1975-10-01 6.38 1975-11-01 5.75 1975-12-01 5.93 1976-01-01 5.24 1976-02-01 5.14 1976-03-01 5.49 1976-04-01 5.20 1976-05-01 5.60 1976-06-01 5.79 1976-07-01 5.60 1976-08-01 5.42 1976-09-01 5.31 1976-10-01 5.07 1976-11-01 4.94 1976-12-01 4.51 1977-01-01 4.79 1977-02-01 4.90 1977-03-01 4.88 1977-04-01 4.79 1977-05-01 5.19 1977-06-01 5.20 1977-07-01 5.35 1977-08-01 5.81 1977-09-01 5.99 1977-10-01 6.41 1977-11-01 6.43 1977-12-01 6.38 1978-01-01 6.69 1978-02-01 6.74 1978-03-01 6.65 1978-04-01 6.70 1978-05-01 7.02 1978-06-01 7.20 1978-07-01 7.48 1978-08-01 7.36 1978-09-01 7.95 1978-10-01 8.49 1978-11-01 9.20 1978-12-01 9.40 1979-01-01 9.50 1979-02-01 9.35 1979-03-01 9.46 1979-04-01 9.50 1979-05-01 9.53 1979-06-01 9.06 1979-07-01 9.19 1979-08-01 9.45 1979-09-01 10.13 1979-10-01 11.34 1979-11-01 11.86 1979-12-01 11.85 1980-01-01 11.85 1980-02-01 12.72 1980-03-01 15.10 1980-04-01 13.62 1980-05-01 9.15 1980-06-01 7.22 1980-07-01 8.10 1980-08-01 9.45 1980-09-01 10.55 1980-10-01 11.57 1980-11-01 13.61 1980-12-01 14.77 1981-01-01 13.88 1981-02-01 14.14 1981-03-01 12.98 1981-04-01 13.43 1981-05-01 15.34 1981-06-01 13.95 1981-07-01 14.40 1981-08-01 15.55 1981-09-01 15.06 1981-10-01 14.01 1981-11-01 11.53 1981-12-01 11.47 1982-01-01 12.93 1982-02-01 13.71 1982-03-01 12.62 1982-04-01 12.86 1982-05-01 12.22 1982-06-01 12.31 1982-07-01 12.24 1982-08-01 10.11 1982-09-01 9.54 1982-10-01 8.30 1982-11-01 8.32 1982-12-01 8.22 1983-01-01 7.90 1983-02-01 8.24 1983-03-01 8.33 1983-04-01 8.35 1983-05-01 8.20 1983-06-01 8.89 1983-07-01 9.29 1983-08-01 9.53 1983-09-01 9.19 1983-10-01 8.90 1983-11-01 8.89 1983-12-01 9.14 1984-01-01 9.06 1984-02-01 9.13 1984-03-01 9.32 1984-04-01 9.83 1984-05-01 10.31 1984-06-01 10.55 1984-07-01 10.58 1984-08-01 10.65 1984-09-01 10.51 1984-10-01 10.05 1984-11-01 8.99 1984-12-01 8.36 1985-01-01 8.03 1985-02-01 8.28 1985-03-01 8.92 1985-04-01 8.31 1985-05-01 7.75 1985-06-01 7.16 1985-07-01 7.16 1985-08-01 7.35 1985-09-01 7.27 1985-10-01 7.32 1985-11-01 7.26 1985-12-01 7.09 1986-01-01 7.13 1986-02-01 7.08 1986-03-01 6.60 1986-04-01 6.07 1986-05-01 6.16 1986-06-01 6.28 1986-07-01 5.85 1986-08-01 5.58 1986-09-01 5.31 1986-10-01 5.26 1986-11-01 5.42 1986-12-01 5.53 1987-01-01 5.47 1987-02-01 5.60 1987-03-01 5.56 1987-04-01 5.93 1987-05-01 6.11 1987-06-01 5.99 1987-07-01 5.86 1987-08-01 6.14 1987-09-01 6.57 1987-10-01 6.86 1987-11-01 6.23 1987-12-01 6.36 1988-01-01 6.31 1988-02-01 5.96 1988-03-01 5.91 1988-04-01 6.21 1988-05-01 6.53 1988-06-01 6.76 1988-07-01 6.97 1988-08-01 7.36 1988-09-01 7.43 1988-10-01 7.50 1988-11-01 7.76 1988-12-01 8.24 1989-01-01 8.38 1989-02-01 8.49 1989-03-01 8.87 1989-04-01 8.73 1989-05-01 8.39 1989-06-01 8.00 1989-07-01 7.63 1989-08-01 7.72 1989-09-01 7.74 1989-10-01 7.61 1989-11-01 7.46 1989-12-01 7.45 1990-01-01 7.52 1990-02-01 7.72 1990-03-01 7.83 1990-04-01 7.82 1990-05-01 7.82 1990-06-01 7.64 1990-07-01 7.57 1990-08-01 7.36 1990-09-01 7.33 1990-10-01 7.20 1990-11-01 7.04 1990-12-01 6.76 1991-01-01 6.34 1991-02-01 5.93 1991-03-01 5.91 1991-04-01 5.73 1991-05-01 5.65 1991-06-01 5.76 1991-07-01 5.71 1991-08-01 5.47 1991-09-01 5.29 1991-10-01 5.08 1991-11-01 4.66 1991-12-01 4.16 1992-01-01 3.88 1992-02-01 3.94 1992-03-01 4.19 1992-04-01 3.93 1992-05-01 3.78 1992-06-01 3.81 1992-07-01 3.36 1992-08-01 3.23 1992-09-01 3.01 1992-10-01 2.98 1992-11-01 3.35 1992-12-01 3.39 1993-01-01 3.17 1993-02-01 3.08 1993-03-01 3.08 1993-04-01 3.00 1993-05-01 3.07 1993-06-01 3.23 1993-07-01 3.15 1993-08-01 3.17 1993-09-01 3.06 1993-10-01 3.13 1993-11-01 3.27 1993-12-01 3.25 1994-01-01 3.19 1994-02-01 3.38 1994-03-01 3.79 1994-04-01 4.13 1994-05-01 4.64 1994-06-01 4.58 1994-07-01 4.81 1994-08-01 4.91 1994-09-01 5.02 1994-10-01 5.39 1994-11-01 5.69 1994-12-01 6.21 1995-01-01 6.31 1995-02-01 6.10 1995-03-01 5.91 1995-04-01 5.80 1995-05-01 5.73 1995-06-01 5.46 1995-07-01 5.41 1995-08-01 5.40 1995-09-01 5.28 1995-10-01 5.34 1995-11-01 5.29 1995-12-01 5.15 1996-01-01 4.97 1996-02-01 4.79 1996-03-01 4.96 1996-04-01 5.08 1996-05-01 5.12 1996-06-01 5.26 1996-07-01 5.32 1996-08-01 5.17 1996-09-01 5.29 1996-10-01 5.12 1996-11-01 5.07 1996-12-01 5.02 1997-01-01 5.11 1997-02-01 5.05 1997-03-01 5.24 1997-04-01 5.35 1997-05-01 5.35 1997-06-01 5.14 1997-07-01 5.12 1997-08-01 5.17 1997-09-01 5.11 1997-10-01 5.09 1997-11-01 5.17 1997-12-01 5.24 1998-01-01 5.07 1998-02-01 5.07 1998-03-01 5.04 1998-04-01 5.08 1998-05-01 5.15 1998-06-01 5.12 1998-07-01 5.03 1998-08-01 4.97 1998-09-01 4.75 1998-10-01 4.15 1998-11-01 4.43 1998-12-01 4.43 1999-01-01 4.36 1999-02-01 4.43 1999-03-01 4.52 1999-04-01 4.36 1999-05-01 4.55 1999-06-01 4.81 1999-07-01 4.62 1999-08-01 4.88 1999-09-01 4.91 1999-10-01 4.98 1999-11-01 5.17 1999-12-01 5.43 2000-01-01 5.52 2000-02-01 5.75 2000-03-01 5.85 2000-04-01 5.82 2000-05-01 6.12 2000-06-01 6.02 ; data all; merge three six; by date; ln3 = log(rate3); ln6 = log(rate6); ratio = log(rate3/rate6); &trim ; Axis1 label=(angle=90 font=centb h=1.2); proc means; var ratio; proc gplot; plot (ln6 ln3)*date/overlay vaxis=axis1; symbol1 v=none i=join w=1.5; label ln6 = "ln(Rates)"; title h=1.7 "T-bill rates"; proc gplot; plot (ratio ratio)*date/overlay vref=-0.027 cvref=red; symbol1 v=none i=join c=green r=1; symbol2 v=none i=smooth40 c=blue r=1; title h=1.7 "ln(3 month / 6 month )"; footnote1 j=left c=red "Avg.: -0.027"; footnote2 j=left c=blue "Smoothing spline smooth=40"; run; footnote ; proc arima; i var=ln3 stationarity =(adf=(2 3 4)); i var=ln6 stationarity =(adf=(2 3 4)); i var=ratio stationarity=(adf=2) crosscor=(date); e p=1 q=(4) input=(date) ml; e p=1 input = (date) ml; run; proc statespace; var ln3 ln6; proc varmax data=all; model ln3 ln6/p=3 lagmax=5 ecm=(rank=1 normalize=ln6 ectrend) cointtest; cointeg rank=1 h=(1 0,-1 0, 0 1); output out=forecasts lead=36; id date interval=month; run; ** Forecast Graphics **; data forecasts; set forecasts; if ln3 ne . then do; lci1=.; lci2=.; uci1=.; uci2=.; end; proc print data=forecasts (firstobs=430); proc gplot; plot (ln3 ln6 for1 lci1 uci1 for2 lci2 uci2)*date/overlay; symbol1 v=dot c=red i=none h=0.4; symbol2 v=dot c=blue i=none h=0.4; symbol3 v=none i=join c=red r=3; symbol4 v=none i=join c=blue r=3; where date > '01jan70'd; title "Cointegration Model Forecasts"; run; ** Graph the cointegrating relationship **; data tbill; set all; Coint6 = .96288*ln3 +0.0928; proc gplot; plot (ln6 ln3 coint6)*ln3/overlay; symbol1 v=dot i=rl h=0.8 w=2 c=green; symbol2 v=none i=rl c=blue; symbol3 v=none i=join c=red; footnote c=green "Data " c=blue " 45 degrees " c=red " Cointegrating line"; run; data engle; set all; proc reg; model ln3=ln6; output out=out4 residual=r; data next; set out4; d=r-r1; output; retain; r1=r; proc reg; model d=r1; run;