Marché financier, taux

Data - BDF

Info

source dataset .html .RData
bdf FM 2024-11-22 2024-11-22

Data on interest rates

source dataset .html .RData
bdf FM 2024-11-22 2024-11-22
bdf MIR 2024-07-26 2024-07-01
bdf MIR1 2024-11-19 2024-11-19
bis CBPOL_D 2024-11-22 2024-05-10
bis CBPOL_M 2024-11-22 2024-04-19
ecb FM 2024-11-22 2024-11-22
ecb MIR 2024-06-19 2024-11-22
eurostat ei_mfir_m 2024-11-22 2024-11-22
eurostat irt_lt_mcby_d 2024-11-22 2024-11-22
eurostat irt_st_m 2024-11-22 2024-11-22
fred r 2024-11-22 2024-11-22
oecd MEI 2024-04-16 2024-06-30
oecd MEI_FIN 2024-09-15 2024-11-22
wdi FR.INR.RINR 2024-11-22 2024-11-22

LAST_COMPILE

LAST_COMPILE
2024-11-22

Last

date Nobs
2024-11-21 17

FREQ Frequency

Code
FM %>%
  left_join(FM_var, by = "variable") %>%
  left_join(FREQ, by = "FREQ") %>%
  group_by(FREQ, Freq) %>%
  summarise(Nobs = n()) %>%
  arrange(-Nobs) %>%
  print_table_conditional()
FREQ Freq Nobs
D Daily 171111
M Monthly 9368
NA NA 239

INSTRUMENT_FM

Code
FM %>%
  left_join(FM_var, by = "variable") %>%
  left_join(INSTRUMENT_FM, by = "INSTRUMENT_FM") %>%
  group_by(INSTRUMENT_FM, Instrument_fm) %>%
  summarise(Nobs = n()) %>%
  arrange(-Nobs) %>%
  print_table_conditional()
INSTRUMENT_FM Instrument_fm Nobs
BB Benchmark bond 78961
MR Money market rates 36615
KR Key ECB interest rate 29238
MM Money Market 15833
TR Reference rate 12722
LIR NA 6938
NA NA 239
MF Money market funds 172

PROVIDER_FM

Code
FM %>%
  left_join(FM_var, by = "variable") %>%
  left_join(PROVIDER_FM, by = "PROVIDER_FM") %>%
  group_by(PROVIDER_FM, Provider_fm) %>%
  summarise(Nobs = n()) %>%
  arrange(-Nobs) %>%
  print_table_conditional()
PROVIDER_FM Provider_fm Nobs
FR2 Banque de France 150779
4F ECB 29238
FR6 Caisse des Depots et Consignations 462
NA NA 239

PROVIDER_FM_ID

Code
FM %>%
  left_join(FM_var, by = "variable") %>%
  left_join(PROVIDER_FM_ID, by = "PROVIDER_FM_ID") %>%
  group_by(PROVIDER_FM_ID, Provider_fm_id) %>%
  summarise(Nobs = n()) %>%
  arrange(-Nobs) %>%
  print_table_conditional()

Taux d’intérêt

BCE - Facilité de dépôt, refinancements

All

Code
FM %>%
  filter(grepl("FM.D.U2.EUR.4F.KR.MRR_FR.LEV", variable) |
           grepl("FM.D.U2.EUR.4F.KR.MLFR.LEV", variable) |
           grepl("FM.D.U2.EUR.4F.KR.DFR.LEV", variable)) %>%
  left_join(variable, by = "variable") %>%
  ggplot + geom_line(aes(x = date, y = value/100, color = Variable)) +
  
  theme_minimal() + xlab("") + ylab("Taux d'intérêt (%)") +
  scale_x_date(breaks = as.Date(paste0(seq(1960,2100, 5), "-01-01")),
               labels = date_format("%Y")) +
  theme(legend.position = c(0.35, 0.1),
        legend.title = element_blank(),
        legend.direction = "vertical") +
  scale_y_continuous(breaks = 0.01*seq(-10, 100, 1),
                labels = percent_format(accuracy = 1))

2022-

Code
FM %>%
  filter(grepl("FM.D.U2.EUR.4F.KR.MRR_FR.LEV", variable) |
           grepl("FM.D.U2.EUR.4F.KR.MLFR.LEV", variable) |
           grepl("FM.D.U2.EUR.4F.KR.DFR.LEV", variable)) %>%
  filter(date >= as.Date("2022-01-01")) %>%
  left_join(variable, by = "variable") %>%
  ggplot + geom_line(aes(x = date, y = value/100, color = Variable)) +
  
  theme_minimal() + xlab("") + ylab("Taux d'intérêt (%)") +
  scale_x_date(breaks = "1 month",
               labels = date_format("%b %Y")) +
  theme(legend.position = c(0.3, 0.9),
        legend.title = element_blank(),
        legend.direction = "vertical",
        axis.text.x = element_text(angle = 45, vjust = 1, hjust = 1)) +
  scale_y_continuous(breaks = 0.01*seq(-10, 100, 1),
                labels = percent_format(accuracy = 1))

Bons du Trésor

30 ans, 10 ans, 1 mois

Tous

Code
FM %>%
  left_join(FM_var, by = "variable") %>%
  filter(PROVIDER_FM_ID %in% c("FRMOYTEC30", "FRMOYTEC10"),
         date >= as.Date("2018-01-01"),
          FREQ == "D") %>%
  #select_if(function(col) length(unique(col)) > 1) %>%
  ggplot + geom_line(aes(x = date, y = value/100, color = Variable)) +
  
  theme_minimal() + xlab("") + ylab("Taux d'intérêt (%)") +
  scale_x_date(breaks = as.Date(paste0(seq(1960,2100, 1), "-01-01")),
               labels = date_format("%Y")) +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank(),
        legend.direction = "vertical") +
  scale_y_continuous(breaks = 0.01*seq(-10, 100, .2),
                labels = percent_format(accuracy = .1)) +
  geom_hline(yintercept =  0, linetype = "dashed")

30 ans

Tous

Code
FM %>%
  left_join(FM_var, by = "variable") %>%
  filter(PROVIDER_FM_ID %in% c("FRMOYTEC30"),
         date >= as.Date("2018-01-01"),
          FREQ == "D") %>%
  #select_if(function(col) length(unique(col)) > 1) %>%
  ggplot + geom_line(aes(x = date, y = value/100, color = Variable)) +
  
  theme_minimal() + xlab("") + ylab("Taux d'intérêt (%)") +
  scale_x_date(breaks = as.Date(paste0(seq(1960,2100, 1), "-01-01")),
               labels = date_format("%Y")) +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank(),
        legend.direction = "vertical") +
  scale_y_continuous(breaks = 0.01*seq(-10, 100, .2),
                labels = percent_format(accuracy = .1)) +
  geom_hline(yintercept =  0, linetype = "dashed")

30 ans, 10 ans, 5 ans

Tous

Code
FM %>%
  left_join(FM_var, by = "variable") %>%
  filter(PROVIDER_FM_ID %in% c("FRMOYTEC10", "FRMOYTEC5", "FRMOYTEC30"),
         date >= as.Date("2018-01-01"),
          FREQ == "D") %>%
  select_if(function(col) length(unique(col)) > 1) %>%
  ggplot + geom_line(aes(x = date, y = value/100, color = Variable)) +
  
  theme_minimal() + xlab("") + ylab("Taux d'intérêt (%)") +
  scale_x_date(breaks = as.Date(paste0(seq(1960,2100, 1), "-01-01")),
               labels = date_format("%Y")) +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank(),
        legend.direction = "vertical") +
  scale_y_continuous(breaks = 0.01*seq(-10, 100, .2),
                labels = percent_format(accuracy = .1)) +
  geom_hline(yintercept =  0, linetype = "dashed")

March 2020-

Code
FM %>%
  left_join(FM_var, by = "variable") %>%
  filter(PROVIDER_FM_ID %in% c("FRMOYTEC10", "FRMOYTEC5", "FRMOYTEC30"),
         date >= as.Date("2020-01-01"),
          FREQ == "D") %>%
  ggplot + geom_line(aes(x = date, y = value/100, color = Variable)) +
  
  theme_minimal() + xlab("") + ylab("Taux d'intérêt (%)") +
  scale_x_date(breaks = "3 months",
               labels = date_format("%b %y")) +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank(),
        legend.direction = "vertical",
        axis.text.x = element_text(angle = 45, vjust = 1, hjust = 1)) +
  scale_y_continuous(breaks = 0.01*seq(-10, 100, .2),
                labels = percent_format(accuracy = .1)) +
  geom_hline(yintercept =  0, linetype = "dashed")

2021-

Code
FM %>%
  left_join(FM_var, by = "variable") %>%
  filter(PROVIDER_FM_ID %in% c("FRMOYTEC10", "FRMOYTEC5", "FRMOYTEC30"),
         date >= as.Date("2021-01-01"),
          FREQ == "D") %>%
  arrange(desc(date)) %>%
  ggplot + geom_line(aes(x = date, y = value/100, color = Variable)) +
  
  theme_minimal() + xlab("") + ylab("Taux d'intérêt (%)") +
  scale_x_date(breaks = "2 months",
               labels = date_format("%b %y")) +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank(),
        legend.direction = "vertical",
        axis.text.x = element_text(angle = 45, vjust = 1, hjust = 1)) +
  scale_y_continuous(breaks = 0.01*seq(-10, 100, .2),
                labels = percent_format(accuracy = .1)) +
  geom_hline(yintercept =  0, linetype = "dashed")

2 years

Code
FM %>%
  left_join(FM_var, by = "variable") %>%
  filter(PROVIDER_FM_ID %in% c("FRMOYTEC10", "FRMOYTEC5", "FRMOYTEC30"),
         date >= Sys.Date() - years(2),
          FREQ == "D") %>%
  arrange(desc(date)) %>%
  ggplot + geom_line(aes(x = date, y = value/100, color = Variable)) +
  
  theme_minimal() + xlab("") + ylab("Taux d'intérêt (%)") +
  scale_x_date(breaks = "1 month",
               labels = date_format("%b %y")) +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank(),
        legend.direction = "vertical",
        axis.text.x = element_text(angle = 45, vjust = 1, hjust = 1)) +
  scale_y_continuous(breaks = 0.01*seq(-10, 100, .5),
                labels = percent_format(accuracy = .1)) +
  geom_hline(yintercept =  0, linetype = "dashed")

1 an, 5 ans, 10 ans

Tous

Code
FM %>%
  left_join(FM_var, by = "variable") %>%
  filter(PROVIDER_FM_ID %in% c("FRMOYTEC10", "FRMOYTEC5", "FRMOYTEC1"),
         date >= as.Date("2018-01-01"),
          FREQ == "D") %>%
  select_if(function(col) length(unique(col)) > 1) %>%
  ggplot + geom_line(aes(x = date, y = value/100, color = Variable)) +
  
  theme_minimal() + xlab("") + ylab("Taux d'intérêt (%)") +
  scale_x_date(breaks = as.Date(paste0(seq(1960, 2030, 1), "-01-01")),
               labels = date_format("%Y")) +
  theme(legend.position = c(0.35, 0.9),
        legend.title = element_blank(),
        legend.direction = "vertical") +
  scale_y_continuous(breaks = 0.01*seq(-10, 100, .2),
                labels = percent_format(accuracy = .1)) +
  geom_hline(yintercept =  0, linetype = "dashed")

March 2020-

Code
FM %>%
  left_join(FM_var, by = "variable") %>%
  filter(PROVIDER_FM_ID %in% c("FRMOYTEC10", "FRMOYTEC5", "FRMOYTEC1"),
         date >= as.Date("2020-03-01"),
          FREQ == "D") %>%
  ggplot + geom_line(aes(x = date, y = value/100, color = Variable)) +
  
  theme_minimal() + xlab("") + ylab("Taux d'intérêt (%)") +
  scale_x_date(breaks = "3 months",
               labels = date_format("%b %y")) +
  theme(legend.position = c(0.3, 0.9),
        legend.title = element_blank(),
        legend.direction = "vertical",
        axis.text.x = element_text(angle = 45, vjust = 1, hjust = 1)) +
  scale_y_continuous(breaks = 0.01*seq(-10, 100, .2),
                labels = percent_format(accuracy = .1)) +
  geom_hline(yintercept =  0, linetype = "dashed")

2021-

Code
FM %>%
  left_join(FM_var, by = "variable") %>%
  filter(PROVIDER_FM_ID %in% c("FRMOYTEC10", "FRMOYTEC5", "FRMOYTEC1"),
         date >= as.Date("2021-01-01"),
          FREQ == "D") %>%
  arrange(desc(date)) %>%
  ggplot + geom_line(aes(x = date, y = value/100, color = Variable)) +
  
  theme_minimal() + xlab("") + ylab("Taux d'intérêt (%)") +
  scale_x_date(breaks = "2 months",
               labels = date_format("%b %y")) +
  theme(legend.position = c(0.3, 0.9),
        legend.title = element_blank(),
        legend.direction = "vertical",
        axis.text.x = element_text(angle = 45, vjust = 1, hjust = 1)) +
  scale_y_continuous(breaks = 0.01*seq(-10, 100, .2),
                labels = percent_format(accuracy = .1)) +
  geom_hline(yintercept =  0, linetype = "dashed")

2 years

Code
FM %>%
  left_join(FM_var, by = "variable") %>%
  filter(PROVIDER_FM_ID %in% c("FRMOYTEC10", "FRMOYTEC5", "FRMOYTEC1"),
         date >= Sys.Date() - years(2),
          FREQ == "D") %>%
  arrange(desc(date)) %>%
  ggplot + geom_line(aes(x = date, y = value/100, color = Variable)) +
  
  theme_minimal() + xlab("") + ylab("Taux d'intérêt (%)") +
  scale_x_date(breaks = "1 month",
               labels = date_format("%b %y")) +
  theme(legend.position = c(0.25, 0.9),
        legend.title = element_blank(),
        legend.direction = "vertical",
        axis.text.x = element_text(angle = 45, vjust = 1, hjust = 1)) +
  scale_y_continuous(breaks = 0.01*seq(-10, 100, .5),
                labels = percent_format(accuracy = .1)) +
  geom_hline(yintercept =  0, linetype = "dashed")