Historical Net Discount Rates-An Update Through 2011

The following eight tables are updated versions of the eight tables that were presented most recently by Ireland and Tucek [2011]. A history of the eight tables and their predecessors appears in Ireland [2011]. The original purpose of the eight tables was to provide forensic economists with values for net discount rates and the real interest rate that were varied and flexible, and that objective still underlies the current update. The eight tables provided should be understood as two sets of four tables each. Tables 1 and 5 provide basic data relied on by the subsequent tables. Table 1 includes data for the 91-day Treasury bill, 3-year and 10-year constant maturity Treasury notes, the corporate Aaa bond rate, and the high grade municipal bond rate. Table 1 also includes the annual percentage change in the Consumer Price Index (CPI) and in the Medical Consumer Price Index (MCPI). The data for the 91-day Treasury bill rate has been modified to reflect annual yield rather than a bank discount rate, as per the method explained by Fjeldsted [2000]. The period covered by Table 1 ranges from 1962 through 2011.
Table 5 repeats the interest rate data found in Table 1, but replaces data for the CPI and the MCPI with data for the average weekly earnings of all American workers and the total compensation series of the employer cost index (ECI). The period covered by Table 5 ranges from 1965 through 2011; data for the ECI begin in 1980.
Tables 2 and 6 provide a series of multi-year average growth rates for each variable for periods ending in 2011. This results in up to a 50- year average for the five interest rates and for the CPI and MCPI variables, and up to a 47-year average for the two earnings growth measures. Table 2, for example, shows that the average rate of effective yields on 91-day Treasury bills from 1962 through 2011 was 5.52 percent and that the average rate of increase in the CPI over that same 50-year period was 4.12 percent. Table 3 provides calculations of the real interest rate based on comparing each of the interest rates with the growth rate in the CPI for each of fifty possible time periods ending in 2011. Table 4 provides the same comparisons with the growth rate in the MCPI for up to a 50-year period. Table 7 is analogous to Table 3: it is based on Table 5 and provides calculations of the net discount rate based on comparing each of the interest rates with the growth rate in the average weekly earnings series for the 47 possible periods from 1965 through 2011. Similarly, Table 8 provides calculations of the net discount rate based on comparing each of the interest rates with the annual growth rate in the ECI for the 32 possible periods from 1980 through 2011.