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Fitted Instantaneous Forward Rate 2 Years Hence (THREEFF2)

Observation:

2018-06-29: 2.6784  
Updated: Jul 10, 2018

Units:

Percent,
Not Seasonally Adjusted

Frequency:

Daily
1Y | 5Y | 10Y | Max
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(a) Fitted Instantaneous Forward Rate 2 Years Hence, Percent, Not Seasonally Adjusted (THREEFF2)
Kim and Wright (2005) produced this data by fitting a simple three-factor arbitrage-free term structure model to U.S. Treasury yields since 1990, in order to evaluate the behavior of long-term yields, distant-horizon forward rates, and term premiums. For the full paper, please go to http://www.federalreserve.gov/pubs/feds/2005/200533/200533abs.html

Fitted Instantaneous Forward Rate 2 Years Hence

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NOTES

Source: Board of Governors of the Federal Reserve System (US)  

Release: An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates  

Units:  Percent, Not Seasonally Adjusted

Frequency:  Daily

Notes:

Kim and Wright (2005) produced this data by fitting a simple three-factor arbitrage-free term structure model to U.S. Treasury yields since 1990, in order to evaluate the behavior of long-term yields, distant-horizon forward rates, and term premiums. For the full paper, please go to http://www.federalreserve.gov/pubs/feds/2005/200533/200533abs.html

Suggested Citation:

Board of Governors of the Federal Reserve System (US), Fitted Instantaneous Forward Rate 2 Years Hence [THREEFF2], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/THREEFF2, September 23, 2018.

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Data on the nominal term structure model from Kim and Wright Academic Data

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2-Year Daily Board of Governors Rate United States of America Not Seasonally Adjusted Nation
RELEASE TABLES

An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates






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