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

dc.citation.epage2304en_US
dc.citation.issueNumber8en_US
dc.citation.spage2291en_US
dc.citation.volumeNumber54en_US
dc.contributor.authorGürkaynak, R. S.en_US
dc.contributor.authorSack, B.en_US
dc.contributor.authorWright, J. H.en_US
dc.date.accessioned2016-02-08T10:12:21Z
dc.date.available2016-02-08T10:12:21Z
dc.date.issued2007en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThe 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.en_US
dc.identifier.doi10.1016/j.jmoneco.2007.06.029en_US
dc.identifier.eissn1873-1295
dc.identifier.issn0304-3932
dc.identifier.urihttp://hdl.handle.net/11693/23335
dc.language.isoEnglishen_US
dc.publisherElsevier BVen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.jmoneco.2007.06.029en_US
dc.source.titleJournal of Monetary Economicsen_US
dc.subjectHigh-frequency dataen_US
dc.subjectOn the run premiaen_US
dc.subjectTreasury marketen_US
dc.subjectYield curveen_US
dc.titleThe U.S. Treasury yield curve: 1961 to the presenten_US
dc.typeArticleen_US
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