Federal Reserve Economic Data

Fitted Instantaneous Forward Rate 6 Years Hence (THREEFF6)

Observation:

2024-11-29: 4.1759 (+ more)   Updated: Dec 3, 2024 2:03 PM CST
2024-11-29:  4.1759  
2024-11-28:  .  
2024-11-27:  4.2374  
2024-11-26:  4.2913  
2024-11-25:  4.3040  
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 6 Years Hence [THREEFF6], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/THREEFF6, .

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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