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

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      Author(s)
      Gürkaynak, R. S.
      Sack, B.
      Wright, J. H.
      Date
      2007
      Source Title
      Journal of Monetary Economics
      Print ISSN
      0304-3932
      Electronic ISSN
      1873-1295
      Publisher
      Elsevier BV
      Volume
      54
      Issue
      8
      Pages
      2291 - 2304
      Language
      English
      Type
      Article
      Item Usage Stats
      250
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      1,493
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      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. © 2007 Elsevier B.V. All rights reserved.
      Keywords
      High-frequency data
      On the run premia
      Treasury market
      Yield curve
      Permalink
      http://hdl.handle.net/11693/23335
      Published Version (Please cite this version)
      http://dx.doi.org/10.1016/j.jmoneco.2007.06.029
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      • Department of Economics 724
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