use http://econ.bc.edu/crsp/dailybond_merged.dta
You must allocate at least 60 Mb of memory (set mem 60m) to read this data set (1.6 million observations).
The Dec. 2000 updates have been applied (July 2001).
The CRSP Daily Govermment Bonds file contains over 1.3 million price observations beginning June 14, 1961. The prices were manually input through December 31, 1989. Beginning January, 1990 through September, 1996, the prices were obtatned from the department of Commerce's electronic bulletin board (EBB). Beginning October, 1996 to the present, prices are supplied by GovPX.
The manually input prices were double-entered. Programs were written to compare the prices entered from both screens. Once compared, price corrections were double-entered; the corrections were also compared for consistency. Several iteradons of this process took place to arrive at the final, "clean" version of the file. Logical filters were then written and run to further clean the data.
Descriptive information and amounts outstanding were shared with the CRSP Monthly US Government Bond File.
Prices in the file prior to January of 1962 were obtained from a number of different sources (see description of SOURCR in Section 2.2). These sources include the Wall Street Journal, Salomon Brothers, Inc., and the Bank and Quotation Record.
Beginning with January of 1962, the majority of prices came from the Composite Closing Quotations for US Government Securities compiled by the Federal Reserve Bank of New York (FRBNY). In 1984, the quotation sheets were renamed the "Composite 3:30 P.M. Quotations for US Government Securities". The time at which the quotes were compiled was related to the fedwire deadline the FRBNY set for the transfer of securities. The deadline was set for 2:30 p.m. Eastern Time, but was regularly extended as much as three-quarters of an hour. The FRBNY trading desk began a "closing run" at 3:00 p.m. Thc reference to "closing quotations" from 1962 to 1984 probably refers to the "closing run" at the FRBNY. Thc close of the day on October 15~, 1996 the FRBNY discontinued publication of composite quotations.
The start of the day, October 16, 1996, our sourec for price quotations changed to GovPX, Inc (GovPX). GovPX receives its data from 5 inter-dealer bond brokers. who broker transactions among 37 primary dealers. Live, intraday bids, offers and transactions in the active over-thc-counter markets among these primary dealers are the source of GovPX's 5 p.m. End-Of-Day US Treasury prices. GovPX also began providing the following non-derived data: maturity date and coupon rates as of Oclober 16. 1996. This data was formerly provided by the US Treasury Department.
The FRBNY described its listed bid price as ...thc most widely quoted price from the range of quotations received". The ask price was determined by the FRBNY based on what they expect a typical bid-ask spread to be. The rule used to make this derivation was not puhhc domain. GovPX describes its listed bid and ask prices as the "best price". To determine their "best price" they obscrvc thc prices from the 5 inter-dealer brokers and report the bid and ask prices that produce the smallesl bid-ask spread.
The amount outstanding (TOTOUT) is obtained from the Monthly Statement of the Public Debt of the United States published by the Treasury Department. The amount publicly held (PUBOUT) is obtained from the quarterly US Treasury Bulletin. Money Rates are obtained from thc Federal Reserve. The following non-derived data: issue date, coupon payable dates, bank eligibility, tax status and call status are obtained from the US Treasury Department.
Prior to 1990, CUSIP was obtained from Standard & Poor's CUSIP Directory. From January, 1990 through October 15th, 1996, CUSIP was obtained from the Composite 3:30 p.m. quotations for US Government Securities. GovPX, as of October 16, 1996, provides the CUSIP number. When in question, the CUSIP is verified by Standard ~ Poor's CUSIP Directory.
All data are checked for internal consistency with each release of the file. Secondary sources, such as the Wall Strect Journal, are used to check suspect prices.
The CRSP Daily US Govemment Bond files are a superset of the CRSP Monthly US Government Bond files with three exceptions.
The organization of the data has been changed sign)ficantly to reflect the increased amount of data. Certain derived data items are not stored, but can be accessed with utility functions that are provided. Other less frequent data are only stored on the observation dates.
All data are checked for internal consistency, and secondary sources are used to check suspect prices.
Considerable resources are expended in checking and improving the quality of the data. Errors are not common. Some of the errors found in checking the data are the results of inaccuracies in the initial data source. The inaccuracies are corrected as soon as possible. Other errors are CRSP coding errors; over time these coding errors are found and corrected. Historical corrections account for the differences in the data from update to update. The Annual CRSP US Government Bond Files contain updated data through the end of the previous calendar year. These updated files are available to subscribers each Spring.