EMU convergence criterion series - daily data

Data - Eurostat

Author

François Geerolf

Info

source dataset .html .RData
eurostat irt_lt_mcby_d 2025-01-22 2025-01-22

Data on interest rates

source dataset .html .RData
bdf FM 2025-01-22 2025-01-22
bdf MIR 2025-01-22 2025-01-22
bdf MIR1 2025-01-22 2025-01-22
bis CBPOL_D 2025-01-10 2024-05-10
bis CBPOL_M 2025-01-10 2024-04-19
ecb FM 2025-01-10 2025-01-10
ecb MIR 2024-06-19 2025-01-10
eurostat ei_mfir_m 2025-01-22 2025-01-22
eurostat irt_lt_mcby_d 2025-01-22 2025-01-22
eurostat irt_st_m 2025-01-10 2025-01-10
fred r 2025-01-22 2025-01-22
oecd MEI 2024-04-16 2024-06-30
oecd MEI_FIN 2024-09-15 2025-01-22
wdi FR.INR.RINR 2025-01-10 2025-01-10

LAST_COMPILE

LAST_COMPILE
2025-01-22

Last

Code 
irt_lt_mcby_d |>
  group_by(time) |>
  summarise(Nobs = n()) |>
  arrange(desc(time)) |>
  head(1) |>
  print_table_conditional()
time Nobs
2025-01-21 5

geo

Code 
irt_lt_mcby_d |>
  left_join(geo, by = "geo") |>
  group_by(geo, Geo) |>
  summarise(Nobs = n()) |>
  arrange(-Nobs) |>
  mutate(Geo = ifelse(geo == "DE", "Germany", Geo)) |>
  mutate(Flag = gsub(" ", "-", str_to_lower(Geo)),
         Flag = paste0('<img src="../../bib/flags/vsmall/', Flag, '.png" alt="Flag">')) |>
  select(Flag, everything()) %>%
  {if (is_html_output()) datatable(., filter = 'top', rownames = F, escape = F) else .}

Germany, Italy, France, Spain

All

Code 
irt_lt_mcby_d |>
  filter(geo %in% c("FR", "DE", "ES", "IT")) |>
  left_join(geo, by = "geo") |>
  day_to_date() |>
  mutate(values = values / 100) |>
  left_join(colors, by = c("Geo" = "country")) |>
  ggplot() + geom_line(aes(x = date, y = values, color = color)) +
  scale_color_identity() + theme_minimal()  + add_4flags +
  scale_x_date(breaks = as.Date(paste0(seq(1960, 2100, 5), "-01-01")),
               labels = date_format("%Y")) +
  xlab("") + ylab("10-year yield") +
  scale_y_continuous(breaks = 0.01*seq(-30, 30, 2),
                labels = percent_format(a = 1)) + 
  geom_hline(yintercept = 0, linetype = "dashed",  color = "black")

1997-

Code 
irt_lt_mcby_d |>
  filter(geo %in% c("FR", "DE", "ES", "IT")) |>
  left_join(geo, by = "geo") |>
  day_to_date() |>
  mutate(values = values / 100) |>
  left_join(colors, by = c("Geo" = "country")) |>
  filter(date >= as.Date("1997-01-01")) |>
  ggplot() + geom_line(aes(x = date, y = values, color = color)) +
  scale_color_identity() + theme_minimal()  + add_4flags +
  scale_x_date(breaks = as.Date(paste0(seq(1960, 2100, 2), "-01-01")),
               labels = date_format("%Y")) +
  xlab("") + ylab("10-year yield") +
  scale_y_continuous(breaks = 0.01*seq(-30, 30, 1),
                labels = percent_format(a = 1)) + 
  geom_hline(yintercept = 0, linetype = "dashed",  color = "black")

2000-

Code 
irt_lt_mcby_d |>
  filter(geo %in% c("FR", "DE", "ES", "IT")) |>
  left_join(geo, by = "geo") |>
  day_to_date() |>
  mutate(values = values / 100) |>
  left_join(colors, by = c("Geo" = "country")) |>
  filter(date >= as.Date("2000-01-01")) |>
  ggplot() + geom_line(aes(x = date, y = values, color = color)) +
  scale_color_identity() + theme_minimal()  + add_4flags +
  scale_x_date(breaks = as.Date(paste0(seq(1960, 2100, 2), "-01-01")),
               labels = date_format("%Y")) +
  xlab("") + ylab("10-year yield") +
  scale_y_continuous(breaks = 0.01*seq(-30, 30, 1),
                labels = percent_format(a = 1)) + 
  geom_hline(yintercept = 0, linetype = "dashed",  color = "black")

2010-

Code 
irt_lt_mcby_d |>
  filter(geo %in% c("FR", "DE", "ES", "IT")) |>
  left_join(geo, by = "geo") |>
  day_to_date() |>
  mutate(values = values / 100) |>
  left_join(colors, by = c("Geo" = "country")) |>
  filter(date >= as.Date("2010-01-01")) |>
  ggplot() + geom_line(aes(x = date, y = values, color = color)) +
  scale_color_identity() + theme_minimal()  + add_4flags +
  scale_x_date(breaks = as.Date(paste0(seq(1960, 2100, 2), "-01-01")),
               labels = date_format("%Y")) +
  xlab("") + ylab("10-year yield") +
  scale_y_continuous(breaks = 0.01*seq(-30, 30, 1),
                labels = percent_format(a = 1)) + 
  geom_hline(yintercept = 0, linetype = "dashed",  color = "black")

Last 10 years

Code 
irt_lt_mcby_d |>
  filter(geo %in% c("FR", "DE", "ES", "IT")) |>
  left_join(geo, by = "geo") |>
  day_to_date() |>
  mutate(values = values / 100) |>
  left_join(colors, by = c("Geo" = "country")) |>
  filter(date >= Sys.Date() - years(10)) |>
  ggplot() + geom_line(aes(x = date, y = values, color = color)) +
  scale_color_identity() + theme_minimal()  + add_4flags +
  scale_x_date(breaks = as.Date(paste0(seq(1960, 2100, 1), "-01-01")),
               labels = date_format("%Y")) +
  xlab("") + ylab("10-year yield") +
  scale_y_continuous(breaks = 0.01*seq(-30, 30, 1),
                labels = percent_format(a = 1)) + 
  geom_hline(yintercept = 0, linetype = "dashed",  color = "black")

Last 5 years

Code 
irt_lt_mcby_d |>
  filter(geo %in% c("FR", "DE", "ES", "IT")) |>
  left_join(geo, by = "geo") |>
  day_to_date() |>
  mutate(values = values / 100) |>
  left_join(colors, by = c("Geo" = "country")) |>
  filter(date >= Sys.Date() - years(5)) |>
  ggplot() + geom_line(aes(x = date, y = values, color = color)) +
  scale_color_identity() + theme_minimal()  + add_4flags +
  scale_x_date(breaks = as.Date(paste0(seq(1960, 2100, 1), "-01-01")),
               labels = date_format("%Y")) +
  xlab("") + ylab("10-year yield") +
  scale_y_continuous(breaks = 0.01*seq(-30, 30, 1),
                labels = percent_format(a = 1)) + 
  geom_hline(yintercept = 0, linetype = "dashed",  color = "black")

Germany, Italy, France, Spain, Greece

All

Code 
irt_lt_mcby_d |>
  filter(geo %in% c("FR", "DE", "IT", "ES", "EL")) |>
  left_join(geo, by = "geo") |>
  day_to_date() |>
  mutate(values = values / 100) |>
  left_join(colors, by = c("Geo" = "country")) |>
  ggplot() + geom_line(aes(x = date, y = values, color = color)) +
  scale_color_identity() + theme_minimal()  + add_5flags +
  scale_x_date(breaks = as.Date(paste0(seq(1960, 2100, 5), "-01-01")),
               labels = date_format("%Y")) +
  xlab("") + ylab("10-year yield") +
  scale_y_continuous(breaks = 0.01*seq(-30, 100, 2),
                labels = percent_format(a = 1)) + 
  geom_hline(yintercept = 0, linetype = "dashed",  color = "black")

2021-

Code 
irt_lt_mcby_d |>
  filter(geo %in% c("FR", "DE", "IT", "ES", "EL")) |>
  left_join(geo, by = "geo") |>
  day_to_date() |>
  filter(date >= as.Date("2021-01-01")) |>
  mutate(values = values / 100) |>
  left_join(colors, by = c("Geo" = "country")) |>
  ggplot() + geom_line(aes(x = date, y = values, color = color)) +
  scale_color_identity() + theme_minimal()  + add_5flags +
  scale_x_date(breaks = "1 month",
               labels = date_format("%b %Y")) +
  xlab("") + ylab("10-year yield") +
  scale_y_continuous(breaks = 0.01*seq(-30, 30, 1),
                labels = percent_format(a = 1)) + 
  geom_hline(yintercept = 0, linetype = "dashed",  color = "black") +
  theme(axis.text.x = element_text(angle = 45, vjust = 1, hjust = 1))

2022-

Flags

Code 
irt_lt_mcby_d |>
  filter(geo %in% c("FR", "DE", "IT", "ES", "EL")) |>
  left_join(geo, by = "geo") |>
  day_to_date() |>
  filter(date >= as.Date("2022-01-01")) |>
  mutate(values = values / 100) |>
  left_join(colors, by = c("Geo" = "country")) |>
  ggplot() + geom_line(aes(x = date, y = values, color = color)) +
  scale_color_identity() + theme_minimal()  + add_5flags +
  scale_x_date(breaks = "1 month",
               labels = date_format("%b %Y")) +
  xlab("") + ylab("10-year yield") +
  scale_y_continuous(breaks = 0.01*seq(-30, 30, 1),
                labels = percent_format(a = 1)) + 
  geom_hline(yintercept = 0, linetype = "dashed",  color = "black") +
  theme(axis.text.x = element_text(angle = 45, vjust = 1, hjust = 1))

No flags

  • Why Greece: EL

  • Greece - Elláda

  • Hellenic Republic - Ellīnikī Dīmokratía

  • Hellas - Ellás

Code 
irt_lt_mcby_d |>
  filter(geo %in% c("FR", "DE", "IT", "ES", "EL")) |>
  day_to_date() |>
  filter(date >= as.Date("2022-01-01")) |>
  ggplot() + geom_line(aes(x = date, y = values/100, color = geo)) + theme_minimal()  + 
  scale_x_date(breaks = "1 month",
               labels = date_format("%b %Y")) +
  xlab("") + ylab("10-year yield") +
  theme(legend.position = c(0.8, 0.2),
        legend.title = element_blank()) +
  scale_color_manual(values = c("#000000", "#0D5EAF", "#FFC400", "#ED2939", "#009246")) +
  scale_y_continuous(breaks = 0.01*seq(0, 30, 1),
                labels = percent_format(a = 1)) +
  guides(color=guide_legend(ncol=2)) +
  theme(axis.text.x = element_text(angle = 45, vjust = 1, hjust = 1))

Last 3 months

Code 
irt_lt_mcby_d |>
  filter(geo %in% c("FR", "DE", "IT", "ES", "EL")) |>
  left_join(geo, by = "geo") |>
  day_to_date() |>
  filter(date >= Sys.Date() - months(3)) |>
  mutate(values = values / 100) |>
  left_join(colors, by = c("Geo" = "country")) |>
  ggplot() + geom_line(aes(x = date, y = values, color = color)) +
  scale_color_identity() + theme_minimal()  + add_5flags +
  scale_x_date(breaks = "1 week",
               labels = date_format("%d %b %Y")) +
  xlab("") + ylab("10-year yield") +
  scale_y_continuous(breaks = 0.01*seq(-30, 30, .5),
                labels = percent_format(a = .1)) + 
  theme(axis.text.x = element_text(angle = 45, vjust = 1, hjust = 1))

Last 1 month

Code 
irt_lt_mcby_d |>
  filter(geo %in% c("FR", "DE", "IT", "ES", "EL")) |>
  left_join(geo, by = "geo") |>
  day_to_date() |>
  filter(date >= Sys.Date() - months(1)) |>
  mutate(values = values / 100) |>
  left_join(colors, by = c("Geo" = "country")) |>
  ggplot() + geom_line(aes(x = date, y = values, color = color)) +
  scale_color_identity() + theme_minimal()  + add_5flags +
  scale_x_date(breaks = "1 day",
               labels = date_format("%d %b %Y")) +
  xlab("") + ylab("10-year yield") +
  scale_y_continuous(breaks = 0.01*seq(-30, 30, .5),
                labels = percent_format(a = .1)) + 
  theme(axis.text.x = element_text(angle = 45, vjust = 1, hjust = 1))

2021-

Code 
irt_lt_mcby_d |>
  filter(geo %in% c("PT", "DE", "IT", "ES", "EL")) |>
  left_join(geo, by = "geo") |>
  day_to_date() |>
  filter(date >= as.Date("2021-01-01")) |>
  mutate(values = values / 100) |>
  left_join(colors, by = c("Geo" = "country")) |>
  ggplot() + geom_line(aes(x = date, y = values, color = color)) +
  scale_color_identity() + theme_minimal()  + add_5flags +
  scale_x_date(breaks = "1 month",
               labels = date_format("%b %Y")) +
  xlab("") + ylab("10-year yield") +
  scale_y_continuous(breaks = 0.01*seq(-30, 30, 1),
                labels = percent_format(a = 1)) + 
  geom_hline(yintercept = 0, linetype = "dashed",  color = "black") +
  theme(axis.text.x = element_text(angle = 45, vjust = 1, hjust = 1))