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 10 Year Zero Coupon Bond [THREEFY10],
retrieved from FRED,
Federal Reserve Bank of St. Louis;
https://fred.stlouisfed.org/series/THREEFY10,
February 27, 2021.