Federal Reserve Economic Data: Your trusted data source since 1991

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

Observation:

2024-03-08: 4.8868 (+ more)   Updated: Mar 12, 2024
2024-03-08:  4.8868  
2024-03-07:  4.8966  
2024-03-06:  4.9130  
2024-03-05:  4.9118  
2024-03-04:  4.9378  
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, March 18, 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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