Marché financier, taux
Data - BDF
François Geerolf
Info
| source | dataset | .html | .RData |
|---|---|---|---|
| bdf | FM | 2024-05-08 | 2024-05-08 |
Data on interest rates
| source | dataset | .html | .RData |
|---|---|---|---|
| bdf | FM | 2024-05-08 | 2024-05-08 |
| bdf | MIR | 2024-05-08 | 2024-05-10 |
| bdf | MIR1 | 2024-05-08 | 2024-05-10 |
| bis | CBPOL_D | 2024-05-06 | 2024-05-06 |
| bis | CBPOL_M | 2024-04-19 | 2024-04-19 |
| ecb | FM | 2024-03-05 | 2024-04-19 |
| ecb | MIR | 2024-04-19 | 2024-04-19 |
| eurostat | ei_mfir_m | 2024-05-09 | 2024-05-09 |
| eurostat | irt_lt_mcby_d | 2024-05-09 | 2024-03-26 |
| eurostat | irt_st_m | 2024-05-09 | 2024-05-09 |
| fred | r | 2024-05-07 | 2024-05-07 |
| oecd | MEI | 2024-04-16 | 2024-04-15 |
| oecd | MEI_FIN | 2024-04-16 | 2024-03-26 |
| wdi | FR.INR.RINR | 2024-01-06 | 2024-04-14 |
LAST_COMPILE
| LAST_COMPILE |
|---|
| 2024-05-10 |
Last
| date | Nobs |
|---|---|
| 2024-05-07 | 10 |
FREQ Frequency
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 | 169268 |
| M | Monthly | 9741 |
| NA | NA | 233 |
INSTRUMENT_FM
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 | 90194 |
| MM | Money Market | 47096 |
| KR | Key ECB interest rate | 25688 |
| TR | Reference rate | 10731 |
| MR | Money market rates | 5090 |
| NA | NA | 233 |
| MF | Money market funds | 172 |
| LIR | NA | 38 |
PROVIDER_FM
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 | 146718 |
| 4F | ECB | 31834 |
| FR6 | Caisse des Depots et Consignations | 457 |
| NA | NA | 233 |
PROVIDER_FM_ID
Taux d’intérêt
BCE - Facilité de dépôt, refinancements
All
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-
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))
Euribor 1 semaine, 1 mois, 3 mois
FM %>%
filter(grepl("FM.D.U2.EUR.FR2.MM.EURIBOR1WD_.HSTA", variable) |
grepl("FM.D.U2.EUR.FR2.MM.EURIBOR1MD_.HSTA", variable) |
grepl("FM.D.U2.EUR.FR2.MM.EURIBOR3MD_.HSTA", 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(0.8, 0.8),
legend.title = element_blank(),
legend.direction = "vertical") +
scale_y_continuous(breaks = 0.01*seq(-10, 100, 1),
labels = percent_format(accuracy = 1),
limits = c(-0.01, 0.06))
Euribor 6, 9, 12 mois
FM %>%
filter(grepl("FM.D.U2.EUR.FR2.MM.EURIBOR9MD_.HSTA", variable) |
grepl("FM.D.U2.EUR.FR2.MM.EURIBOR6MD_.HSTA", variable) |
grepl("FM.D.U2.EUR.FR2.MM.EURIBOR1YD_.HSTA", 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, 2), "-01-01")),
labels = date_format("%Y")) +
theme(legend.position = c(0.8, 0.8),
legend.title = element_blank(),
legend.direction = "vertical") +
scale_y_continuous(breaks = 0.01*seq(-10, 100, 1),
labels = percent_format(accuracy = 1),
limits = c(-0.01, 0.06))
Bons du Trésor
30 ans, 10 ans, 1 mois
Tous
FM %>%
left_join(FM_var, by = "variable") %>%
filter(PROVIDER_FM_ID %in% c("FR30YT_RR", "FR1MT_RR", "FR10YT_RR"),
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
FM %>%
left_join(FM_var, by = "variable") %>%
filter(PROVIDER_FM_ID %in% c("FR30YT_RR"),
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
FM %>%
left_join(FM_var, by = "variable") %>%
filter(PROVIDER_FM_ID %in% c("FR5YT_RR", "FR30YT_RR", "FR10YT_RR"),
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-
FM %>%
left_join(FM_var, by = "variable") %>%
filter(PROVIDER_FM_ID %in% c("FR5YT_RR", "FR30YT_RR", "FR10YT_RR"),
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-
FM %>%
left_join(FM_var, by = "variable") %>%
filter(PROVIDER_FM_ID %in% c("FR5YT_RR", "FR30YT_RR", "FR10YT_RR"),
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
FM %>%
left_join(FM_var, by = "variable") %>%
filter(PROVIDER_FM_ID %in% c("FR5YT_RR", "FR30YT_RR", "FR10YT_RR"),
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
FM %>%
left_join(FM_var, by = "variable") %>%
filter(PROVIDER_FM_ID %in% c("FR5YT_RR", "FR1YT_RR", "FR10YT_RR"),
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-
FM %>%
left_join(FM_var, by = "variable") %>%
filter(PROVIDER_FM_ID %in% c("FR5YT_RR", "FR1YT_RR", "FR10YT_RR"),
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-
FM %>%
left_join(FM_var, by = "variable") %>%
filter(PROVIDER_FM_ID %in% c("FR5YT_RR", "FR1YT_RR", "FR10YT_RR"),
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
FM %>%
left_join(FM_var, by = "variable") %>%
filter(PROVIDER_FM_ID %in% c("FR5YT_RR", "FR1YT_RR", "FR10YT_RR"),
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")
1 mois, 3 mois, 6 mois
Tous
FM %>%
left_join(FM_var, by = "variable") %>%
filter(PROVIDER_FM_ID %in% c("FR6MT_RR", "FR3MT_RR", "FR1MT_RR"),
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(0.3, 0.8),
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-
FM %>%
left_join(FM_var, by = "variable") %>%
filter(PROVIDER_FM_ID %in% c("FR6MT_RR", "FR3MT_RR", "FR1MT_RR"),
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 = "2 months",
labels = date_format("%b %y")) +
theme(legend.position = c(0.3, 0.85),
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-
FM %>%
left_join(FM_var, by = "variable") %>%
filter(PROVIDER_FM_ID %in% c("FR6MT_RR", "FR3MT_RR", "FR1MT_RR"),
date >= as.Date("2021-01-01"),
FREQ == "D") %>%
ggplot + geom_line(aes(x = date, y = value/100, color = Variable)) +
theme_minimal() + xlab("") + ylab("Taux d'intérêt (%)") +
scale_x_date(breaks = "2 months",
labels = date_format("%m-%Y")) +
theme(legend.position = c(0.3, 0.85),
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")