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

Refet Gürkaynak, Brian P. Sack and Jonathan Wright

No 2006-28, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

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 periodically, will provide a benchmark yield curve that will be useful to applied economists.

Keywords: Treasury bills; Government securities; Interest rates (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-cba, nep-fmk, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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http://www.federalreserve.gov/pubs/feds/2006/200628/200628abs.html (text/html)
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Related works:
Journal Article: The U.S. Treasury yield curve: 1961 to the present (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2006-28

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