Reconstructing the Yield Curve
35 Pages Posted: 28 Nov 2018 Last revised: 1 Feb 2019
Date Written: January 21, 2019
The constant-maturity zero-coupon Treasury yield curve is one of the most studied datasets. We construct a new dataset with a non-parametric method. Our curve is globally smooth while still capturing important local variation. We show our dataset preserves information in the raw data and has much smaller pricing errors than existing benchmarks. We also provide how much information is in the raw data to complement our dataset.
Keywords: yield curve, non-parametric, term structure
JEL Classification: G12, C58, C13, C14
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