Federal Reserve Economic Data: Your trusted data source since 1991
Your trusted data source
since 1991.
NOTES
Source: Board of Governors of the Federal Reserve System (US)
Units:
Frequency:
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 2 Year Zero Coupon Bond [THREEFY2], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/THREEFY2, May 3, 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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