NOTES
| Title | Release Dates | |
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| Fitted Instantaneous Forward Rate 10 Years Hence | 2016-05-27 | 2024-10-08 |
| Source | ||
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| Board of Governors of the Federal Reserve System (US) | 2016-05-27 | 2024-10-08 |
| Release | ||
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| An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates | 2016-05-27 | 2024-10-08 |
| Units | ||
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| Percent | 2016-05-27 | 2024-10-08 |
| Frequency | ||
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| Daily | 2016-05-27 | 2024-10-08 |
| Seasonal Adjustment | ||
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| Not Seasonally Adjusted | 2016-05-27 | 2024-10-08 |
| Notes | ||
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Kim and Wright (2005) produced this data by fitting a simple three-factor arbitrage-free term structure model to U.S. Treasury yields since 1990, in order to evaluate the behavior of long-term yields, distant-horizon forward rates, and term premiums. For the full paper, please go to http://www.federalreserve.gov/pubs/feds/2005/200533/200533abs.html
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2016-05-27 | 2024-10-08 |
RELEASE TABLES
An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates
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