1Y |
5Y |
10Y |
Max
NOTES
| Title | Release Dates | |
|
|
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| Fitted Yield on a 2 Year Zero Coupon Bond | 2016-05-27 | 2019-07-16 |
| Source | ||
|
|
||
| Board of Governors of the Federal Reserve System (US) | 2016-05-27 | 2019-07-16 |
| 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 | 2019-07-16 |
| Units | ||
|
|
||
| Percent | 2016-05-27 | 2019-07-16 |
| Frequency | ||
|
|
||
| Daily | 2016-05-27 | 2019-07-16 |
| Seasonal Adjustment | ||
|
|
||
| Not Seasonally Adjusted | 2016-05-27 | 2019-07-16 |
| 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 | 2019-07-16 |
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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