Use the 3-month LIBOR as attached: 3month_LIBOR.xlsx ( 3month_LIBOR.xlsx ).

2) Download daily "3-month Treasury Constant Maturity Rate" from Jan. 2, 2019, to Dec 29, 2023. (https://fred.stlouisfed.org/series/DGS3MO)

3) Compute the daily average rate of return and standard deviation with a 3-month T-bill rate over the sample period,

4) Plot the cumulative rate of return (X-axis: Date, Y-axis: Cumulative Return) from 3). Explain the plot thoroughly. 

5) Calculate daily TED spreads over the sample period. (TED Spread = 3-month LIBOR - 3-month Treasury Constant Maturity Rate.)

6) Plot the TED spreads (X-axis: Date, Y-axis: TED Spread) over the sample period. Explain the plot by identifying periods of stress or relaxation in the financial markets. 

Transcribed Image Text:

8 DGS3MO 9 10 Frequency: Daily 11 observation_date 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 < A > 2019-01-02 2019-01-03 2019-01-04 2019-01-07 2019-01-08 2019-01-09 2019-01-10 2019-01-11 2019-01-14 2019-01-15 2019-01-16 2019-01-17 2019-01-18 2019-01-21 2019-01-22 2019-01-23 2019-01-24 2019-01-25 2019-01-28 2019-01-29 2019-01-30 2019-01-31 2019-02-01 2019-02-04 B D E F G Market Yield on U.S. Treasury Securities at 3-Month Constant Maturity, Quoted on an Investment Basis, Percent, Daily, Not Seasonally Adjusted DGS3MO means 3 month treasury constant maturity rate DGS3MO Date FRED Graph Sheet1 2.42 2.41 2.42 2.45 2.46 2.45 2.43 2.43 2.45 2.45 2.43 2.42 2.41 #N/A 2.43 2.41 2.37 2.39 2.42 2.42 2.42 2.41 2.40 2 42 + 1/2/2019 1/3/2019 1/4/2019 1/7/2019 1/8/2019 1/9/2019 1/10/2019 1/11/2019 1/14/2019 1/15/2019 1/16/2019 1/17/2019 1/18/2019 1/21/2019 1/22/2019 1/23/2019 1/24/2019 1/25/2019 1/28/2019 1/29/2019 1/30/2019 1/31/2019 2/1/2019 2/4/2019 3-Month LIBOR (%) 2.79388 2.795 2.80388 2.79681 2.7825 2.79888 2.79694 2.78731 2.77894 2.77344 2.78031 2.77575 2.761 2.77238 2.77925 2.77063 2.76475 2.75163 2.7505 2.74438 2.73625 2.7375 2.73263 2.73438 E U 8 DGS3MO 9 10 Frequency: Daily 11 observation_date 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 < A > 2019-01-02 2019-01-03 2019-01-04 2019-01-07 2019-01-08 2019-01-09 2019-01-10 2019-01-11 2019-01-14 2019-01-15 2019-01-16 2019-01-17 2019-01-18 2019-01-21 2019-01-22 2019-01-23 2019-01-24 2019-01-25 2019-01-28 2019-01-29 2019-01-30 2019-01-31 2019-02-01 2019-02-04 B D E F G Market Yield on U.S. Treasury Securities at 3-Month Constant Maturity, Quoted on an Investment Basis, Percent, Daily, Not Seasonally Adjusted DGS3MO means 3 month treasury constant maturity rate DGS3MO Date FRED Graph Sheet1 2.42 2.41 2.42 2.45 2.46 2.45 2.43 2.43 2.45 2.45 2.43 2.42 2.41 #N/A 2.43 2.41 2.37 2.39 2.42 2.42 2.42 2.41 2.40 2 42 + 1/2/2019 1/3/2019 1/4/2019 1/7/2019 1/8/2019 1/9/2019 1/10/2019 1/11/2019 1/14/2019 1/15/2019 1/16/2019 1/17/2019 1/18/2019 1/21/2019 1/22/2019 1/23/2019 1/24/2019 1/25/2019 1/28/2019 1/29/2019 1/30/2019 1/31/2019 2/1/2019 2/4/2019 3-Month LIBOR (%) 2.79388 2.795 2.80388 2.79681 2.7825 2.79888 2.79694 2.78731 2.77894 2.77344 2.78031 2.77575 2.761 2.77238 2.77925 2.77063 2.76475 2.75163 2.7505 2.74438 2.73625 2.7375 2.73263 2.73438 E U