Long Term Interest Rate
Long-term interest rates refer to government bonds maturing in ten years. Rates are mainly determined by the price charged by the lender, the risk from the borrower and the fall in the capital value. Long-term interest rates are generally averages of daily rates, measured as a percentage. These interest rates are implied by the prices at which the government bonds are traded on financial markets, not the interest rates at which the loans were issued.
In all cases, they refer to bonds whose capital repayment is guaranteed by governments. Long-term interest rates are one of the determinants of business investment. Low long term interest rates encourage investment in new equipment and high interest rates discourage it. Investment is, in turn, a major source of economic growth
See definition: https://data.oecd.org/interest/long-term-interest-rates.htm
It is also possible to get the data from the Global Macro Database (GMDB) by setting the gmdb_source to True.
Both sources return the rate as a decimal fraction per annum (0.0357 for 3.57%), so the two are directly interchangeable. Only the OECD source supports monthly and quarterly frequency; the GMDB is annual only, so the period argument has no effect when gmdb_source is True.
With period=”daily” or “weekly” the 10-year yields come from the issuers themselves, without an API key: the U.S. Department of the Treasury (par yield, from 1990), the Bank of England (nominal par yield of gilts, from 1993), the Japanese Ministry of Finance (JGBs, from 1974) and the European Central Bank (the euro area yield curve of all central government bonds, from 2004). The euro area rate is the 10-year zero-coupon rate of the ECB’s Svensson curve, converted from continuous to annual compounding, while the other three are par yields. Weekly takes the yield on the last trading day of each week. Other countries have no daily source and are not included.
A few countries report a national long-term rate to the OECD that is not a 10-year government bond yield, such as Brazil, whose series is the TJLP (Taxa de Juros de Longo Prazo), the long-term lending rate of the national development bank BNDES.
Also known as: 10-year yield, government bond rate, long-term yield.
Long Term Interest Rate in Python or via the MCP
Install the Finance Toolkit with:
pip install financetoolkit -U
Then call get_long_term_interest_rate as shown below.
from financetoolkit import Economics
economics = Economics(start_date='2023-05-01', end_date='2023-12-31')
economics.get_long_term_interest_rate(
countries=['Japan', 'United States', 'Germany'],
gmdb_source=False,
period='monthly'
)
Or, after setting up the Finance Toolkit MCP, ask:
How did 10-year government bond yields in Japan, the United States and Germany move each month from May to December 2023, according to OECD data?
Which returns:
| Japan | United States | Germany | |
|---|---|---|---|
| 2023-05 | 0.0043 | 0.0357 | 0.0234 |
| 2023-06 | 0.004 | 0.0375 | 0.0238 |
| 2023-07 | 0.0059 | 0.039 | 0.0246 |
| 2023-08 | 0.0064 | 0.0417 | 0.0255 |
| 2023-09 | 0.0076 | 0.0438 | 0.0266 |
| 2023-10 | 0.0095 | 0.048 | 0.0282 |
| 2023-11 | 0.0066 | 0.045 | 0.026 |
| 2023-12 | 0.0062 | 0.0402 | 0.021 |
Parameters
get_long_term_interest_rate accepts the following parameters.
| Parameter | Type | Description | Example |
|---|---|---|---|
countries | list[str] | str | None | The countries to include in the data. Defaults to None. | ["United States", "Germany"] |
period | str | None | Whether to return the daily, weekly, monthly, quarterly or the annual data. Defaults to None, which is quarterly when the Economics class was initialized with quarterly=True and otherwise the highest frequency available: daily for the United States, the United Kingdom, Japan and the Euro Area, monthly when other countries are requested. | "monthly" |
gmdb_source | bool | None | Whether to get the data from the Global Macro Database (GMDB). Not used for daily and weekly data. | False |
rolling | int | The rolling window size to use for smoothing the data (simple moving average). Defaults to None. | 4 |
trailing | int | The trailing window size to use for summing the data over trailing periods (e.g. a trailing-4-quarter sum). Defaults to None. | 4 |
growth | bool | Whether to return the growth data or the actual data. Defaults to False. | True |
lag | int | The number of periods to lag the data by. Defaults to 1. | 4 |
standardize | bool | Whether to standardize (Z-Score) the result. When combined with growth=True, standardizes the growth values instead of the raw values. Defaults to False. | True |
rounding | int | None | The number of decimals to round the results to. Defaults to None. | 2 |
gmdb_forecasts | bool | Whether to include the years the Global Macro Database projects, from the IMF’s World Economic Outlook, up to five years ahead. Only applies to data from the Global Macro Database. Defaults to False, which ends a series with its last observation. | True |