Federal Reserve Economic Data: Your trusted data source since 1991

Fitted Yield on a 1 Year Zero Coupon Bond (THREEFY1)

Observation:

2024-05-17: 5.0629 (+ more)   Updated: May 22, 2024 2:02 PM CDT
2024-05-17:  5.0629  
2024-05-16:  5.0469  
2024-05-15:  5.0303  
2024-05-14:  5.0746  
2024-05-13:  5.0916  
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 Yield on a 1 Year Zero Coupon Bond [THREEFY1], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/THREEFY1, May 23, 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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