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Categories > Academic Data > Data on the nominal term structure model from Kim and Wright
Observation:
2022-05-13: 3.1813 (+ more)2022-05-13: | 3.1813 | |
2022-05-12: | 3.1317 | |
2022-05-11: | 3.2269 | |
2022-05-10: | 3.2692 | |
2022-05-09: | 3.3213 | |
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Units:
Percent,Frequency:
DailyData in this graph are copyrighted. Please review the copyright information in the series notes before sharing.
Source: Board of Governors of the Federal Reserve System (US)
Units: Percent, Not Seasonally Adjusted
Frequency: Daily
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
Board of Governors of the Federal Reserve System (US), Fitted Instantaneous Forward Rate 3 Years Hence [THREEFF3], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/THREEFF3, May 19, 2022.
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