Question

You will need to define two new variables: (i.) the differencebetween the non-financial firm commercial paper’s yield and the fedfunds rate, and (ii.) the difference between the

financial firm commercial paper’s yield and the fed fundsrate

(a.)Using Excel, create a time-series graph which plots thespreads you calculated against time. Describe

what you see especially around the time of the financial crisis(e.g. 2007 - 2008). Does this make sense? Explain.

month	fed_fund_rate	aa_comm_paper_nonfinance	aa_comm_paper_finance	repo_rate
1997-01-01	5.37	5.30	5.32
1997-02-01	5.50	5.27	5.28
1997-03-01	7.07	5.39	5.42
1997-04-01	5.82	5.57	5.60
1997-05-01	5.58	5.57	5.60
1997-06-01	6.87	5.54	5.56
1997-07-01	5.96	5.49	5.51
1997-08-01	5.52	5.48	5.50
1997-09-01	5.81	5.48	5.51
1997-10-01	5.56	5.51	5.55
1997-11-01	5.50	5.60	5.64
1997-12-01	5.84	5.67	5.70
1998-01-01	5.48	5.42	5.44
1998-02-01	5.57	5.42	5.45
1998-03-01	5.88	5.46	5.49
1998-04-01	5.59	5.46	5.48
1998-05-01	5.63	5.48	5.50
1998-06-01	7.06	5.48	5.50
1998-07-01	5.63	5.48	5.50
1998-08-01	5.89	5.48	5.50
1998-09-01	6.14	5.31	5.32
1998-10-01	5.35	5.04	5.09
1998-11-01	5.11	5.06	5.15
1998-12-01	4.07	5.00	5.04
1999-01-01	4.79	4.77	4.81
1999-02-01	4.84	4.79	4.82
1999-03-01	4.98	4.81	4.84
1999-04-01	5.03	4.79	4.80
1999-05-01	4.61	4.81	4.83
1999-06-01	5.12	4.98	5.04
1999-07-01	5.07	5.11	5.14
1999-08-01	5.57	5.25	5.28
1999-09-01	5.51	5.32	5.32
1999-10-01	5.27	5.88	5.93
1999-11-01	5.63	5.81	5.85
1999-12-01	3.99	5.87	5.93
2000-01-01	5.87	5.74	5.81
2000-02-01	5.85	5.87	5.90
2000-03-01	6.17	6.00	6.03
2000-04-01	6.06	6.11	6.15
2000-05-01	6.83	6.54	6.57
2000-06-01	6.86	6.57	6.59
2000-07-01	6.64	6.52	6.54
2000-08-01	6.65	6.49	6.49
2000-09-01	6.60	6.47	6.47
2000-10-01	6.59	6.51	6.52
2000-11-01	6.62	6.50	6.52
2000-12-01	5.41	6.34	6.33
2001-01-01	5.74	5.49	5.51
2001-02-01	5.59	5.14	5.19
2001-03-01	5.29	4.78	4.81
2001-04-01	4.67	4.44	4.47
2001-05-01	4.24	3.93	3.96
2001-06-01	3.95	3.67	3.69
2001-07-01	3.82	3.59	3.62
2001-08-01	3.66	3.42	3.44
2001-09-01	2.75	2.81	2.84
2001-10-01	2.66	2.28	2.29
2001-11-01	2.06	1.97	2.00
2001-12-01	1.52	1.78	1.81
2002-01-01	1.85	1.70	1.72
2002-02-01	1.83	1.79	1.80
2002-03-01	1.74	1.86	1.87
2002-04-01	1.82	1.81	1.83
2002-05-01	1.79	1.78	1.80
2002-06-01	1.73	1.76	1.78
2002-07-01	1.76	1.75	1.76
2002-08-01	1.81	1.70	1.71
2002-09-01	1.85	1.72	1.74
2002-10-01	1.82	1.70	1.71
2002-11-01	1.23	1.36	1.37
2002-12-01	1.16	1.31	1.32
2003-01-01	1.33	1.26	1.27
2003-02-01	1.33	1.26	1.25
2003-03-01	1.38	1.19	1.21
2003-04-01	1.31	1.20	1.23
2003-05-01	1.28	1.19	1.20
2003-06-01	1.45	1.01	1.02
2003-07-01	1.04	1.01	1.03
2003-08-01	1.01	1.04	1.06
2003-09-01	1.17	1.04	1.06
2003-10-01	1.03	1.05	1.06
2003-11-01	1.01	1.06	1.08
2003-12-01	0.94	1.05	1.07
2004-01-01	1.03	1.01	1.04
2004-02-01	1.04	1.01	1.03
2004-03-01	1.05	1.00	1.03
2004-04-01	1.03	1.05	1.06
2004-05-01	1.02	1.07	1.16
2004-06-01	1.38	1.34	1.39
2004-07-01	1.29	1.50	1.51
2004-08-01	1.55	1.62	1.65
2004-09-01	1.94	1.75	1.81
2004-10-01	1.79	1.95	1.97
2004-11-01	2.02	2.18	2.20
2004-12-01	1.97	2.34	2.38
2005-01-01	2.50	2.53	2.56	2.21
2005-02-01	2.52	#N/A	2.71	2.48
2005-03-01	2.96	2.82	2.91	2.58
2005-04-01	2.97	2.97	3.02	2.75
2005-05-01	3.09	3.09	3.15	2.94
2005-06-01	3.35	3.27	3.30	3.00
2005-07-01	3.31	3.47	3.49	3.20
2005-08-01	3.63	3.64	3.69	3.44
2005-09-01	3.93	3.72	3.79	3.54
2005-10-01	4.02	4.01	4.05	3.72
2005-11-01	4.03	4.23	4.23	3.96
2005-12-01	4.09	#N/A	4.37	4.11
2006-01-01	4.47	#N/A	4.48	4.23
2006-02-01	4.52	4.55	4.63	4.45
2006-03-01	5.00	4.76	4.79	4.54
2006-04-01	4.86	4.87	4.94	4.71
2006-05-01	5.05	5.01	5.05	4.81
2006-06-01	5.05	5.29	5.25	4.93
2006-07-01	5.31	#N/A	5.37	5.19
2006-08-01	5.31	5.21	5.29	5.21
2006-09-01	5.34	5.21	5.25	5.24
2006-10-01	5.31	5.19	5.24	5.25
2006-11-01	5.31	5.17	5.24	5.25
2006-12-01	5.17	5.19	5.24	5.23
2007-01-01	5.33	5.17	5.24	5.22
2007-02-01	5.41	5.18	5.23	5.23
2007-03-01	5.30	5.20	5.22	5.25
2007-04-01	5.29	5.20	5.23	5.21
2007-05-01	5.28	5.19	5.23	5.12
2007-06-01	5.31	5.23	5.25	5.07
2007-07-01	5.28	5.22	5.25	5.14
2007-08-01	4.96	5.25	5.30	4.71
2007-09-01	4.58	4.92	5.19	4.85
2007-10-01	4.60	4.63	4.91	4.67
2007-11-01	4.66	4.42	4.75	4.18
2007-12-01	3.06	4.23	4.76	3.95
2008-01-01	3.22	3.25	3.70	3.33
2008-02-01	3.01	2.72	3.03	2.62
2008-03-01	2.51	2.35	2.70	1.90
2008-04-01	2.37	1.99	2.72	2.18
2008-05-01	1.98	2.00	2.61	2.04
2008-06-01	2.47	2.21	2.70	2.05
2008-07-01	2.09	2.18	2.72	2.03
2008-08-01	1.94	2.08	2.76	2.02
2008-09-01	2.03	2.13	2.91	1.51
2008-10-01	0.22	2.07	3.19	0.46
2008-11-01	0.52	1.45	1.54	0.30
2008-12-01	0.14	0.97	1.09	0.11
2009-01-01	0.23	0.31	1.10	0.18
2009-02-01	0.22	0.48	0.67	0.28
2009-03-01	0.16	0.37	0.62	0.25
2009-04-01	0.20	0.28	0.48	0.18
2009-05-01	0.19	0.23	0.37	0.21
2009-06-01	0.22	0.26	0.36	0.22
2009-07-01	0.18	0.28	0.33	0.20
2009-08-01	0.15	0.24	0.29	0.17
2009-09-01	0.07	0.19	0.23	0.15
2009-10-01	0.11	0.19	0.22	0.09
2009-11-01	0.13	0.15	0.19	0.11
2009-12-01	0.05	0.16	0.20	0.11
2010-01-01	0.12	0.13	0.18	0.10
2010-02-01	0.13	0.15	0.20	0.12
2010-03-01	0.09	0.20	0.24	0.16
2010-04-01	0.20	0.23	0.30	0.20
2010-05-01	0.19	0.28	0.44	0.22
2010-06-01	0.09	0.32	0.46	0.20
2010-07-01	0.18	0.27	0.37	0.22
2010-08-01	0.21	0.25	0.27	0.23
2010-09-01	0.15	0.24	0.25	0.24
2010-10-01	0.20	0.23	0.25	0.23
2010-11-01	0.20	0.23	0.25	0.24
2010-12-01	0.13	0.23	0.27	0.20
2011-01-01	0.17	0.24	0.26	0.18
2011-02-01	0.16	0.23	0.25	0.16
2011-03-01	0.10	0.23	0.23	0.14
2011-04-01	0.09	0.20	0.22	0.07
2011-05-01	0.10	0.16	0.18	0.07
2011-06-01	0.07	0.15	0.17	0.06
2011-07-01	0.11	0.14	0.17	0.03
2011-08-01	0.08	0.16	0.21	0.07
2011-09-01	0.06	0.14	0.22	0.10
2011-10-01	0.09	0.15	0.24	0.09
2011-11-01	0.10	0.14	0.21	0.11
2011-12-01	0.04	0.14	0.18	0.08
2012-01-01	0.11	0.14	0.26	0.13
2012-02-01	0.10	0.17	0.21	0.15
2012-03-01	0.09	0.18	0.20	0.19
2012-04-01	0.16	0.20	0.20	0.19
2012-05-01	0.16	0.19	0.20	0.20
2012-06-01	0.09	0.21	0.21	0.22
2012-07-01	0.13	0.22	0.24	0.20
2012-08-01	0.13	0.20	0.19	0.19
2012-09-01	0.09	0.20	0.17	0.26
2012-10-01	0.18	0.19	0.19	0.28
2012-11-01	0.16	0.20	0.21	0.24
2012-12-01	0.09	0.20	0.17	0.25
2013-01-01	0.15	0.16	0.19	0.14
2013-02-01	0.14	0.17	0.16	0.14
2013-03-01	0.09	0.15	0.15	0.17
2013-04-01	0.14	0.12	0.16	0.17
2013-05-01	0.09	0.10	0.14	0.09
2013-06-01	0.07	0.10	0.14	0.08
2013-07-01	0.09	0.11	0.14	0.05
2013-08-01	0.07	0.09	0.12	0.05
2013-09-01	0.06	0.08	0.11	0.07
2013-10-01	0.07	0.11	0.12	0.12
2013-11-01	0.07	0.09	0.12	0.10
2013-12-01	0.07	0.09	0.14	0.07
2014-01-01	0.07	0.09	0.12	0.04
2014-02-01	0.06	0.10	0.13	0.04
2014-03-01	0.06	0.10	0.12	0.08
2014-04-01	0.09	0.10	0.12	0.06
2014-05-01	0.08	0.10	0.11	0.06
2014-06-01	0.09	0.10	0.11	0.12
2014-07-01	0.08	0.10	0.13	0.10
2014-08-01	0.07	0.11	0.13	0.08
2014-09-01	0.07	0.10	0.12	0.07
2014-10-01	0.07	0.10	0.12	0.12
2014-11-01	0.08	0.10	0.13	0.13
2014-12-01	0.06	0.13	0.15	0.18
2015-01-01	0.06	0.12	0.16	0.13
2015-02-01	0.06	0.12	0.15	0.13
2015-03-01	0.06	0.11	0.14	0.19
2015-04-01	0.08	0.10	0.13	0.19
2015-05-01	0.08	0.12	0.15	0.15
2015-06-01	0.08	0.14	0.18	0.19
2015-07-01	0.08	0.13	0.19	0.20
2015-08-01	0.08	0.18	0.26	0.24
2015-09-01	0.07	0.22	0.27	0.18
2015-10-01	0.07	0.18	0.25	0.16
2015-11-01	0.08	0.20	0.30	0.15
2015-12-01	0.20	0.36	0.54	0.36

(b.) Using Excel, produce a time series plot of the fed fundsrate and the repo rate. What is the relationship

between these variables during the financial crisis? Does thismake sense? Explain.