FedYieldCurve: Federal Reserve interest rates

In YieldCurve: Modelling and estimation of the yield curve

Description

The data-set contains the interest rates of the Federal Reserve, from January 1982 to December 2012. The interest rates are Market yield on U.S. Treasury securities constant maturity (CMT) (more information on the Treasury yield curve can be found at the following website http://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/yieldmethod.aspx) at different maturities (3 months, 6 months, 1 year, 2 years, 3 years, 5 years, 7 years and 10 years), quoted on investment basis and have been gathered with monthly frequency.

Usage

data(FedYieldCurve)

Format

An object with class attributes xts.

Source

FED: http://www.federalreserve.gov/datadownload/Build.aspx?rel=H15.

Examples

require(xts)
require(YieldCurve)
data(FedYieldCurve)

first(FedYieldCurve,'3 month')
last(FedYieldCurve,'3 month')
mat<-c(3/12, 0.5, 1,2,3,5,7,10)

par(mfrow=c(2,3))
for( i in c(1,2,3,370,371,372) ){
plot(mat, FedYieldCurve[i,], type="o", xlab="Maturities structure in years", ylab="Interest rates values")
title(main=paste("Federal Reserve yield curve obeserved at",time(FedYieldCurve[i], sep=" ") ))
grid()
}

Example output

Loading required package: xts
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

            R_3M  R_6M  R_1Y  R_2Y  R_3Y  R_5Y  R_7Y R_10Y
1981-12-31 12.92 13.90 14.32 14.57 14.64 14.65 14.67 14.59
1982-01-31 14.28 14.81 14.73 14.82 14.73 14.54 14.46 14.43
1982-02-28 13.31 13.83 13.95 14.19 14.13 13.98 13.93 13.86
Warning message:
index class is Date, which does not support timezones.
Expected 'UTC' timezone, but indexTZ is '' 
           R_3M R_6M R_1Y R_2Y R_3Y R_5Y R_7Y R_10Y
2012-09-30 0.10 0.15 0.18 0.28 0.37 0.71 1.15  1.75
2012-10-31 0.09 0.14 0.18 0.27 0.36 0.67 1.08  1.65
2012-11-30 0.07 0.12 0.16 0.26 0.35 0.70 1.13  1.72
Warning message:
index class is Date, which does not support timezones.
Expected 'UTC' timezone, but indexTZ is '' 

YieldCurve documentation built on May 2, 2019, 5:56 p.m.