Daily Data (2004-2018) for paper 'Risk Free Interest Rates': van Binsbergen, J H, Diamond, W and Grotteria, M Journal of Financial Economics, Volume 143, Issue 1, January 2022, Pages 1-29
We estimate risk-free interest rates unaffected by convenience yields on safe assets. We infer them from risky asset prices without relying on any specific model of risk. We obtain a term structure of
The manipulation scandal with LIBOR, EURIBOR and TIBOR undermined confidence in the reliability and robustness of major reference rates. USD SOFR is the alternative to USD LIBOR. In the Euro area, €ST