Skip to main content

Fitted Instantaneous Forward Rate 8 Years Hence (THREEFF8)

Observation:

2018-03-29: 3.6462  
Updated: Apr 16, 2018

Units:

Percent,
Not Seasonally Adjusted

Frequency:

Daily
1Y | 5Y | 10Y | Max
Close
  EDIT BAR 1
(a) Fitted Instantaneous Forward Rate 8 Years Hence, Percent, Not Seasonally Adjusted (THREEFF8)
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

Fitted Instantaneous Forward Rate 8 Years Hence

Select a date that will equal 100 for your custom index:
to

Customize data:

Write a custom formula to transform one or more series or combine two or more series.

You can begin by adding a series to combine with your existing series.

Now create a custom formula to combine or transform the series.
Need help? []

Finally, you can change the units of your new series.

Select a date that will equal 100 for your custom index:

  EDIT BAR 2
(a) Fitted Instantaneous Forward Rate 8 Years Hence, Percent, Not Seasonally Adjusted (THREEFF8)
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

Fitted Instantaneous Forward Rate 8 Years Hence

Select a date that will equal 100 for your custom index:
to

Customize data:

Write a custom formula to transform one or more series or combine two or more series.

You can begin by adding a series to combine with your existing series.

Now create a custom formula to combine or transform the series.
Need help? []

Finally, you can change the units of your new series.

Select a date that will equal 100 for your custom index:

ADD BAR

Add data series to graph:

FORMAT GRAPH
Log scale:

fullscreen
Shaded areas indicate U.S. recessions
alfred.stlouisfed.org



NOTES
Title Release Dates
Fitted Instantaneous Forward Rate 8 Years Hence 2016-05-27 2018-04-05
 
Source    
Board of Governors of the Federal Reserve System (US) 2016-05-27 2018-04-05
 
Release    
An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates 2016-05-27 2018-04-05
 
Units    
Percent 2016-05-27 2018-04-05
 
Frequency    
Daily 2016-05-27 2018-04-05
 
Seasonal Adjustment    
Not Seasonally Adjusted 2016-05-27 2018-04-05
 
Notes    
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

2016-05-27 2018-04-05
RELATED CONTENT

Related Resources

Related Categories

Data on the nominal term structure model from Kim and Wright Academic Data

Sources

More Releases from Board of Governors of the Federal Reserve System (US)

Releases

More Series from An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates

Tags

8-Year Daily Board of Governors Rate United States of America Not Seasonally Adjusted Nation
RELEASE TABLES





Browse Data

Retrieving data.
Updating graph.

Need Help?

Questions or Comments
ALFRED FAQs
General FAQs

Subscribe to the FRED newsletter

Follow us

Twitter logo Google Plus logo Facebook logo YouTube logo LinkedIn logo
Back to Top
Top