i would like to construct a data set of/ containing a) sovereign (country) risk-free rates - likely repo rates - and b) sovereign credit ratings - the credit rating of the particular country
i would like to include as many countries as possible
and have the window period as long as possible
what would be the best source(s) to construct such a data set?
After the recent 4 day $85 billion per day federal reserve intervention in repo market, are you sure that you consider that to still be risk free?
lol. Semantics.
We should update our language to reflect the increased risk. From now on we can talk of risky risk-free bonds.
Not that easy to source the data, but I am making inroads.
Number of 3rd party sources that seem more accessible that sources like Fitch, S&P, etc
Brian Barnard
Aswath Damodaran at NYU Stern used to compile different countries' risk free rates. You may want to check his site.
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