Reconstructing the Yield Curve

35 Pages Posted: 28 Nov 2018 Last revised: 1 Feb 2019

See all articles by Yan Liu

Yan Liu

Texas A&M University, Department of Finance

Jing Cynthia Wu

University of Notre Dame - Department of Economics; National Bureau of Economic Research (NBER)

Date Written: January 21, 2019

Abstract

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

Suggested Citation

Liu, Yan and Wu, Jing Cynthia, Reconstructing the Yield Curve (January 21, 2019). Available at SSRN: https://ssrn.com/abstract=3286785 or http://dx.doi.org/10.2139/ssrn.3286785

Yan Liu (Contact Author)

Texas A&M University, Department of Finance ( email )

Wehner 401Q, MS 4353
College Station, TX 77843-4218
United States

Jing Cynthia Wu

University of Notre Dame - Department of Economics ( email )

Notre Dame, IN 46556
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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