The u.s. treasury yield curve
Subtitle: 1961 to the present
By: Refet S. Gurkaynak, Brian Sack, and Jonathan H. Wright
Contributors: Sack, Brian; Wright, Jonathan H.
Series: Finance and economics discussion series -- 2006-28; Finance and economics discussion series (Online) -- 2006-28.
Publisher: Federal Reserve Board
Published: 2006
Place of publication: Washington, D.C
Language: eng
Format: [electronic resource] :
Description: "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 periodically, will provide a benchmark yield curve that will be useful to applied economists"--Federal Reserve Board web site.
Notes: Title from PDF file as viewed on 12/7/2006.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.