Reconstructing the yield curve
نویسندگان
چکیده
The constant maturity zero-coupon yield curve for the US Treasuries is one of most studied datasets. We construct a new using non-parametric kernel-smoothing method with novel adaptive bandwidth specifically designed to fit Treasury yields. Our globally smooth while still capturing important local variation. Economically, we show that applying our data leads different conclusions from leading alternative Gürkaynak et al. (2007) (GSW) when repeat two popular studies Cochrane and Piazzesi (2005) Giglio Kelly (2018). Statistically, dataset preserves information in raw has much smaller pricing errors than GSW. maintained updated online, complemented by bandwidths summarize content data.
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2021
ISSN: ['1879-2774', '0304-405X']
DOI: https://doi.org/10.1016/j.jfineco.2021.05.059