samlet årgang - Økonomisk Institut - Københavns Universitet

164
Table A.1. Danish interest rates – an overview.
Data series Concept
NATIONALØKONOMISK TIDSSKRIFT 2005. NR. 2
Official discount rate The discount rate of the Nationalbank (the central bank of Denmark).
Private banks’ average Weighted average of deposit interest rates in savings banks and
deposit rate commercial banks.
Market rate of discount/ 1875-1940 and 1950-1972: Commercial banks’ rate of discount for
money market rate commercial bills of exchange.
1941-1949: Danmarks Nationalbank’s lending rate.
Since 1973: 3-month uncollateralised inter-bank interest rate.
Government bond yield 1875-1985: Yield to maturity on long central government bonds.
Since 1986: Yield to maturity on 10-year central government bonds.
Yield on mortgage- 1875-1959: Average yield to maturity on long callable mortgage-
credit bonds credit bonds.
1960-1972: Yield to maturity on 30-year callable mortgage-credit
bonds.
Since 1973: Yield to maturity on 20-year callable mortgage-credit
bonds.
loans secured by real property. However, loans raised through mortgage-credit institutes
were exempted from these provisions. 17
In addition, one also has to take into consideration the presence of restrictions on capital
account transactions, cf. the main text of the article. Finally, it should be mentioned
that the Danish monetary authorities in some historical periods, e.g. in the 1960s, made
use of interventions in the bond market in order to influence the bond yields.
Three different short-term interest-rate series (the official discount rate, the private
banks’ average deposit rate, and the market rate of discount/money market rate) and
two different long-term interest-rate series (the government bond yield and the yield
on mortgage-credit bonds) have been constructed for the analysis in this article. Table
A.1 gives an overview of the main characteristics of the series.
All the interest rate data presented are annual averages. In some cases, interpolations
have been necessary in order to splice old and new data series into comparable time series.
The sources and compilation methods are outlined in detail in Abildgren (2005)
who also lists and documents time series on short-term and long-term interest rates in
Germany, United Kingdom, United States, Norway and Sweden. The time series data on
consumer price inflation in Denmark used in figure 3 and in table 1 are listed and documented
for the period 1876-2002 in Abildgren (2004b). The data on consumer price
inflation in 1875 and 2003 is based on the sources listed in Abildgren, op. cit.
17. Cf. Hansen and Svendsen (1968) and Hoffmeyer and Olsen (1968).