usyields {MFDF}R Documentation

U.S. treasury yields from 1953 to 2009

Description

This data set contains U.S. treasury yields from 1953 to 2009. This data set combines a data set obtained from Wharton Research Data Services (http://wrds.wharton.upenn.edu/) and the official Federal Reserve web site (http://www.federalreserve.gov/econresdata/researchdata.html)

Usage

data(usyields)

Format

A data frame with 673 observations on the following 34 variables.

time|maturity
a numeric vector
0.08
a numeric vector
0.25
a numeric vector
0.5
a numeric vector
1
a numeric vector
2
a numeric vector
3
a numeric vector
4
a numeric vector
5
a numeric vector
6
a numeric vector
7
a numeric vector
8
a numeric vector
9
a numeric vector
10
a numeric vector
11
a numeric vector
12
a numeric vector
13
a numeric vector
14
a numeric vector
15
a numeric vector
16
a numeric vector
17
a numeric vector
18
a numeric vector
19
a numeric vector
20
a numeric vector
21
a numeric vector
22
a numeric vector
23
a numeric vector
24
a numeric vector
25
a numeric vector
26
a numeric vector
27
a numeric vector
28
a numeric vector
29
a numeric vector
30
a numeric vector

Details

time index is the time index, for example, April 1953 is indexed as 1953.25. yields is the yields for various maturities. time is the month and year during which the yield curve is observed.

Source

Official Fed web site (http://www.federalreserve.gov/econresdata/researchdata.html) and Wharton Research Data Services (http://wrds.wharton.upenn.edu )

References

Dou, W., Pollard, D and Zhou, H.H. (2009) Functional Regression for General Exponential Families. manuscripts. G''{U} RKAYNAK, R. S., SACK, B. and WRIGHT, J. H. (2006). The u.s. treasury yield curve: 1961 to the present. Tech. rep.

Examples

data(usyields)


[Package MFDF version 0.0-2 Index]