全球智库信息集成服务系统(G2TT): Reconstructing the Yield Curve

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w27266
来源ID	Working Paper 27266
	Reconstructing the Yield Curve
	Yan Liu; Jing Cynthia Wu
发表日期	2020-06-01
出版年	2020
语种	英语
摘要	The constant-maturity zero-coupon Treasury yield curve is one of the most studied datasets. We reconstruct the yield curve using a non-parametric kernel-smoothing method with a novel adaptive bandwidth specifically designed to fit the Treasury yield curve. Our curve is globally smooth while still capturing important local variation. Economically, we show that applying our data leads to different conclusions from using the leading alternative data of Gürkaynak et al. (2007) (GSW) when we repeat two popular studies of Cochrane and Piazzesi (2005) and Giglio and Kelly (2018). Statistically, we show our dataset preserves information in the raw data and has much smaller pricing errors than GSW. Our new yield curve is maintained and updated online, complemented by bandwidths that summarize information content in the raw data.
主题	Macroeconomics ; Money and Interest Rates
URL	https://www.nber.org/papers/w27266
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/584937
推荐引用方式 GB/T 7714	Yan Liu,Jing Cynthia Wu. Reconstructing the Yield Curve. 2020.