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Historical Proxies for the Secured Overnight Financing Rate

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Abstract

In this note, the author describes the available history of SOFR data and argues that other historical data published by FRBNY can act as a reasonable proxy for SOFR going back to 1998.

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  • David Bowman, 2019. "Historical Proxies for the Secured Overnight Financing Rate," FEDS Notes 2019-07-15-2, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfn:2019-07-15-2
    DOI: 10.17016/2380-7172.2386
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    File URL: https://www.federalreserve.gov/econres/notes/feds-notes/historical-proxies-for-the-secured-overnight-financing-rate-20190715.htm
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