Risk-Free Rate data sources

The past few years one of the questions I get asked a lot is: what is a good source for the Risk- Free Rate of a country? The definition of Risk-Free Rate or ‘Risk-Free Rate Of Return‘ is: the theoretical rate of return of an investment with zero risk. The risk-free rate represents the interest an investor would expect from an absolutely risk-free investment over a specified period of time (Investopedia).
As there is no risk free investment, the risk-free rate is usually considered to be the rate on government bonds (by way of a proxy) as a measure of the minimum risk you run on any investment (Wikipedia). The risk of default on payment of interest on government bonds is usually considered to be minimal or non-existent. They are also considered a measure of the financial stability of a country. Two types of government bonds are usually referred to for the benchmark interest rate:

•   Three-month Treasury bill
•   10-Year Government bond.

One of the databases that can be used to download the Risk-Free Rate is the OECD.Stats Extract database (a license / subscription is required). Just type in interest rate in the search box on the website and you will get the options in the search result on the left side of the screen. See below:

Both the 3 Month rates and 10 Year Bond interest rates are available for many countries. Next to each nation the darkblue round i-button allows you to call up specific details on the source of the data for each country. The information will be presented on the right side of the screen. Using the options above the default table you can change frequencies, time period, etc. The data can be saved to Excel or as Comma Separated Text (CSV).

A second possibility to get data on the Risk-Free Rate is the IMF International Financial Statistics (IFS) database. Both short term and long term interest rate percentages can be downloaded for government bonds. In the start website you first need to select the option “Data Source” or go directly to the dataset IFS:

Next you need to take 4 steps to create a search: Country, Concept, Data Source & Time. When you get to the second search step (Concept) you can use the Quick filter search bar to search for “Interest rate“:

When you are done making a selection the result is presented as a table. The Table can be edited/changed by clicking the option (top left corner): “Back to query builder“. The result can be exported to Excel or as Comma Separated Text (CSV). The result looks as follows:

A third good database with Risk Free Rate data is Datastream. It has much data (depending on the license) on all sorts of bonds, Notes and treasury bills. The learning curve is bigger if you want to use Datastream compared to OECD.Stats and IMF IFS but it has more data. Datastream, for instance, offers the data frequency options of Weekly and Daily where the OECD and IMF sources only offer the data frequencies Annual, Quarterly and Monthly.
Identifying the right Treasury Bills and 10 Year Government bonds in Datastream is a bit more difficult: some series can be found under the Data Category “Bonds & Convertibles” but most of the 10 Year Government bonds are available under the Data Categories Interest Rates or Economics. The reason is, that the 10 Year Government bonds are considered to be key economic indicators. On the Datastream extranet a list is given of Risk free rate series for several countries but it is in no way a complete list. I suggest you determine their usefullness for yourself.
In a previous blog post you can find out more on Datastream and looking up Government Bond data.

N.B.: There are other sources that also have Risk-Free Rate data but the three mentioned above are (in my view) the best and easiest to customize or use. Some of the other databases are: World Bank Open Data, Eurostat & UN Monthly Bulletin of Statistics. See also: FinaBase blog.

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