yields: U.S., European and Japanese yield curves

In HRW: Datasets, Functions and Scripts for Semiparametric Regression Supporting Harezlak, Ruppert & Wand (2018)

Description

U.S., European and Japanese yield curves. These are functions of maturity. This dataset has 91 columns. The first column is the date, columns 2 to 31 are European yields at maturities from 1 to 30 years, columns 32 to 61 are Japanese yields at these maturities, and columns 62 to 91 are U.S. yields at the same maturities.

Usage

data(yields)

Format

A data frame with 1565 observations on the following 91 variables:

date

date when the yield is measured.

EU01

European yield at a maturity of 1 year.

EU02

European yield at a maturity of 2 years.

EU03

European yield at a maturity of 3 years.

EU04

European yield at a maturity of 4 years.

EU05

European yield at a maturity of 5 years.

EU06

European yield at a maturity of 6 years.

EU07

European yield at a maturity of 7 years.

EU08

European yield at a maturity of 8 years.

EU09

European yield at a maturity of 9 years.

EU10

European yield at a maturity of 10 years.

EU11

European yield at a maturity of 11 years.

EU12

European yield at a maturity of 12 years.

EU13

European yield at a maturity of 13 years.

EU14

European yield at a maturity of 14 years.

EU15

European yield at a maturity of 15 years.

EU16

European yield at a maturity of 16 years.

EU17

European yield at a maturity of 17 years.

EU18

European yield at a maturity of 18 years.

EU19

European yield at a maturity of 19 years.

EU20

European yield at a maturity of 20 years.

EU21

European yield at a maturity of 21 years.

EU22

European yield at a maturity of 22 years.

EU23

European yield at a maturity of 23 years.

EU24

European yield at a maturity of 24 years.

EU25

European yield at a maturity of 25 years.

EU26

European yield at a maturity of 26 years.

EU27

European yield at a maturity of 27 years.

EU28

European yield at a maturity of 28 years.

EU29

European yield at a maturity of 29 years.

EU30

European yield at a maturity of 30 years.

JP01

Japanese yield at a maturity of 1 year.

JP02

Japanese yield at a maturity of 2 years.

JP03

Japanese yield at a maturity of 3 years.

JP04

Japanese yield at a maturity of 4 years.

JP05

Japanese yield at a maturity of 5 years.

JP06

Japanese yield at a maturity of 6 years.

JP07

Japanese yield at a maturity of 7 years.

JP08

Japanese yield at a maturity of 8 years.

JP09

Japanese yield at a maturity of 9 years.

JP10

Japanese yield at a maturity of 10 years.

JP11

Japanese yield at a maturity of 11 years.

JP12

Japanese yield at a maturity of 12 years.

JP13

Japanese yield at a maturity of 13 years.

JP14

Japanese yield at a maturity of 14 years.

JP15

Japanese yield at a maturity of 15 years.

JP16

Japanese yield at a maturity of 16 years.

JP17

Japanese yield at a maturity of 17 years.

JP18

Japanese yield at a maturity of 18 years.

JP19

Japanese yield at a maturity of 19 years.

JP20

Japanese yield at a maturity of 20 years.

JP21

Japanese yield at a maturity of 21 years.

JP22

Japanese yield at a maturity of 22 years.

JP23

Japanese yield at a maturity of 23 years.

JP24

Japanese yield at a maturity of 24 years.

JP25

Japanese yield at a maturity of 25 years.

JP26

Japanese yield at a maturity of 26 years.

JP27

Japanese yield at a maturity of 27 years.

JP28

Japanese yield at a maturity of 28 years.

JP29

Japanese yield at a maturity of 29 years.

JP30

Japanese yield at a maturity of 30 years.

US01

U.S. yield at a maturity of 1 year.

US02

U.S. yield at a maturity of 2 years.

US03

U.S. yield at a maturity of 3 years.

US04

U.S. yield at a maturity of 4 years.

US05

U.S. yield at a maturity of 5 years.

US06

U.S. yield at a maturity of 6 years.

US07

U.S. yield at a maturity of 7 years.

US08

U.S. yield at a maturity of 8 years.

US09

U.S. yield at a maturity of 9 years.

US10

U.S. yield at a maturity of 10 years.

US11

U.S. yield at a maturity of 11 years.

US12

U.S. yield at a maturity of 12 years.

US13

U.S. yield at a maturity of 13 years.

US14

U.S. yield at a maturity of 14 years.

US15

U.S. yield at a maturity of 15 years.

US16

U.S. yield at a maturity of 16 years.

US17

U.S. yield at a maturity of 17 years.

US18

U.S. yield at a maturity of 18 years.

US19

U.S. yield at a maturity of 19 years.

US20

U.S. yield at a maturity of 20 years.

US21

U.S. yield at a maturity of 21 years.

US22

U.S. yield at a maturity of 22 years.

US23

U.S. yield at a maturity of 23 years.

US24

U.S. yield at a maturity of 24 years.

US25

U.S. yield at a maturity of 25 years.

US26

U.S. yield at a maturity of 26 years.

US27

U.S. yield at a maturity of 27 years.

US28

U.S. yield at a maturity of 28 years.

US29

U.S. yield at a maturity of 29 years.

US30

U.S. yield at a maturity of 30 years.

Source

European Central Bank (European yields), Japanese Ministry of Finance (Japanese yields) and U.S. Federal Reserve Board (U.S. yields).

Examples

library(HRW) ; data(yields)
t <- 1:30 ; yieldsCleaned <- na.omit(yields)[,-1]
plot(t,yieldsCleaned[1,61:90], type="l",ylim = c(0,6),lwd = 2,
     xlab = "maturity (years)",ylab = "yield",
     bty = "l",cex.lab = 1.5,cex.axis = 1.5)
for (i in 2:14) lines(t,yieldsCleaned[100*i+1,61:90],col = i,lwd = 2)

HRW documentation built on Nov. 23, 2021, 9:07 a.m.