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Fitted Instantaneous Forward Rate 5 Years Hence (THREEFF5)

Observation:

2024-02-23: 4.0195 (+ more)   Updated: Feb 27, 2024
2024-02-23:  4.0195  
2024-02-22:  4.0805  
2024-02-21:  4.0652  
2024-02-20:  4.0295  
2024-02-19:  .  
View All

Units:

Percent,
Not Seasonally Adjusted

Frequency:

Daily

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 5 Years Hence [THREEFF5], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/THREEFF5, March 3, 2024.

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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