usyields {MFDF} | R Documentation |
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)
data(usyields)
A data frame with 673 observations on the following 34 variables.
time|maturity
0.08
0.25
0.5
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
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.
Official Fed web site (http://www.federalreserve.gov/econresdata/researchdata.html) and Wharton Research Data Services (http://wrds.wharton.upenn.edu )
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.
data(usyields)