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Zero-coupon interest rates: Evaluating three alternative datasets

Antonio Díaz, Francisco Jareño () and Eliseo Navarro

No 2018-67, Economics Discussion Papers from Kiel Institute for the World Economy (IfW)

Abstract: The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such decision may matter, examines the properties of each dataset, and explores what effect such datasets have on some important variables derived from the analysis of the time series of zero coupon yield curves. The authors provide guidance to final users for selecting a yield curve dataset.

Keywords: term structure; yield curve data; volatility; forward rates; correlation; expectations hypothesis (search for similar items in EconPapers)
JEL-codes: E43 F31 G12 G13 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2018
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