Introducing a New Monthly Series of U.S. Government Bond Returns 1793 -2023

Abstract

Government bond returns provide the benchmark for assessing the historical equity premium. There are some existing bond series that extend back into the 19 th century, but these have typically been annual series, and sometimes not based on observed prices but constructed from yields. The yield series used have often lacked information on the coupons and maturities of the components, making it difficult to assess the accuracy of the returns extracted. This paper presents a new series of monthly returns on government bonds in the US spanning 231 years and containing 2,771 monthly observations. To introduce the series the paper sketches the history of the bond market from the 1790s, identifies interludes that require special treatment, and explains how the constituents that make up the series were selected from among the available candidates. The new series can be downloaded by contacting the author.

Keywords: long run asset returns, 19th century bond returns, equity premium

JEL Classification: G12, H74, H81, N11