The U.S. Treasury yield curve: 1961 to the present Export

@article{citeulike:1933253, abstract = {The discount function, which determines the value of all future nominal payments, is the most basic building block of finance and is usually inferred from the Treasury yield curve. It is therefore surprising that researchers and practitioners do not have available to them a long history of high-frequency yield curve estimates. This paper fills that void by making public the Treasury yield curve estimates of the Federal Reserve Board at a daily frequency from 1961 to the present. We use a well-known and simple smoothing method that is shown to fit the data very well. The resulting estimates can be used to compute yields or forward rates for any horizon. We hope that the data, which are posted on the website http://www.federalreserve.gov/pubs/feds/2006 and which will be updated quarterly, will provide a benchmark yield curve that will be useful to applied economists.}, author = {Gurkaynak, Refet S. and Sack, Brian and Wright, Jonathan H.}, citeulike-article-id = {1933253}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/j.jmoneco.2007.06.029}, citeulike-linkout-1 = {http://www.sciencedirect.com/science/article/B6VBW-4P4FV8K-3/2/abb28ee058c34c5271ffaf2227206e07}, doi = {10.1016/j.jmoneco.2007.06.029}, journal = {Journal of Monetary Economics}, keywords = {bond, data, yield}, month = {November}, number = {8}, pages = {2291--2304}, posted-at = {2007-11-18 11:18:07}, priority = {2}, title = {The U.S. Treasury yield curve: 1961 to the present}, url = {http://dx.doi.org/10.1016/j.jmoneco.2007.06.029}, volume = {54}, year = {2007} }

TY - JOUR ID - citeulike:1933253 L3 - citeulike-article-id:1933253 N2 - The discount function, which determines the value of all future nominal payments, is the most basic building block of finance and is usually inferred from the Treasury yield curve. It is therefore surprising that researchers and practitioners do not have available to them a long history of high-frequency yield curve estimates. This paper fills that void by making public the Treasury yield curve estimates of the Federal Reserve Board at a daily frequency from 1961 to the present. We use a well-known and simple smoothing method that is shown to fit the data very well. The resulting estimates can be used to compute yields or forward rates for any horizon. We hope that the data, which are posted on the website http://www.federalreserve.gov/pubs/feds/2006 and which will be updated quarterly, will provide a benchmark yield curve that will be useful to applied economists. IS - 8 JF - Journal of Monetary Economics EP - 2304 TI - The U.S. Treasury yield curve: 1961 to the present VL - 54 SP - 2291 KW - bond KW - data KW - yield AU - Gurkaynak, Refet AU - Sack, Brian AU - Wright, Jonathan PY - 2007/11// UR - http://dx.doi.org/10.1016/j.jmoneco.2007.06.029 ER -