Which interest rates to use: Treasuries, fed funds, Eurodollar, swap, corporate?
A. Research on the United States business cycle has relied mostly on interest rates for U.S. Treasury securities. One reason is convenience: data for many maturities are available continuously from the 1950s to the present in a consistent format. Another reason is that the pricing of these securities is not subject to significant credit risk premiums that, at least in principle, may change with maturity and over time. For similar reasons, studies of other countries tend to use data on national government debt securities. Rates on coupon bonds and notes are most easily accessible, but researchers in many countries have also produced zero-coupon rates, which may be directly matched with the timing of the forecasts. Some analysts have also used, as short-term rates, the U.S. federal funds rate and rates closely controlled by central banks in other countries. These are useful for some purposes, but the control exercised by the central bank implies that these rates are not fully reflective
