I am exploring a number of different models using daily data, of the US economy, and am trying to gather up observable proxies for some of the most important macro and micro variables, and surveying methods of constructing nowcasting indicators for others. One of my goals is to produce a number of forecasts of what will happen today, i.e. in the next 24 hours, based on variables that are observable after we wake up in the morning, say between 6 and 9 AM. So I am looking for the best available market indicator of the interest rate that is observable at a moment in time, i.e. that is based on continuously reported transactions.
The best I have found so far is the overnight effective federal funds rate (EFFR). That is a big important number available at daily frequencies, but it is still a good ways away from the quality of, e.g., treasury bond yields, which are available pretty much minute-by-minute based on trades in a real market. And I worry that the EFFR may be fully or partially set by Fed policies, rather than private market forces. Can I do better than the EFFR, in terms either of frequency or market-based-ness? Should I be constructing the interest rate from the T-bill yields? What do people think is the best observable proxy or proxies?
Oh, and I should specify that I am looking for the nominal rate. I think I have some good daily proxies for inflation, so I'd like to keep these separate.