1-Year Treasury Constant Maturity Rate
Why Use This Data Source In Your Models?
The 1-Year Treasury Bill Rate is the yield received for investing in a government issued treasury security that has a maturity of 1 year. This is indicative of the overall health of the US economy.
1-Year Treasury Constant Maturity Rate
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Suggested Treatment:
Grain Transformation:
Source:
Board of Governors of Fed Reserve System
Release:
Selected Interest Rates
Units:
Percent, Not Seasonally Adjusted
Frequency:
Daily
Available Through:
05/08/2025
Suggested Treatment:
The data shows auto correlation and a non-normal distribution. The data should be differenced. While the Order Norm transformation, provides the best normality, the Boxcox variable will also perform well.
Grain Transformation:
Data is unable to be distributed by time or geography. The roll up method used is Weighted Average.
Auto Correlation Analysis:
Data shows auto correlation indicating a need for differencing
The ACF indicates 2 order differencing is appropriate.
Further differencing is reccommended
Trend Analysis:
The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 1.58 p-value = 0.01 indicates that the data is not stationary.
Distribution Analysis:
The Shapiro-Wilk test returned W = 0.79 with a p-value =0.00 indicating the data does not follow a normal distribution.
A skewness score of 1.36 indicates the data are substantially skewed.
Hartigan's dip test score of 0.02 with a p-value of 0.00 inidcates the data is multimodal
Statistics (Pearson P/ df, lower => more normal)
Auto Correlation Function
Auto Correlation Function After Differencing
Partial Auto Correlation Function
Seasonal Impact
Seasonal and Trend Decompostion
Citation:
Board of Governors of the Federal Reserve System (US), 1-Year Treasury Constant Maturity Rate [DGS1], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS1, December 19, 2019.
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