The U.S. Treasury Yield Curve: 1961 to the Present

42 Pages Posted: 25 Jul 2006

See all articles by Refet S. Gürkaynak

Refet S. Gürkaynak

Bilkent University - Department of Economics

Brian P. Sack

Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section

Jonathan H. Wright

Johns Hopkins University - Department of Economics

Date Written: July 2006

Abstract

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, and which will be updated periodically, will provide a benchmark yield curve that will be useful to applied economists.

Keywords: Yield curve, forward rates, on-the-run premium, treasury market

JEL Classification: E43, G12

Suggested Citation

Gürkaynak, Refet S. and Sack, Brian P. and Wright, Jonathan H., The U.S. Treasury Yield Curve: 1961 to the Present (July 2006). FEDS Working Paper No. 2006-28, Available at SSRN: https://ssrn.com/abstract=920183 or http://dx.doi.org/10.2139/ssrn.920183

Refet S. Gürkaynak (Contact Author)

Bilkent University - Department of Economics ( email )

06533 Ankara
Turkey

Brian P. Sack

Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section ( email )

20th and C Streets, NW
Washington, DC 20551
United States
202-736-5671 (Phone)
202-452-2301 (Fax)

Jonathan H. Wright

Johns Hopkins University - Department of Economics ( email )

3400 Charles Street
Baltimore, MD 21218-2685
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
468
Abstract Views
3,190
rank
71,480
PlumX Metrics