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Finance and Economics Discussion Series logo links to FEDS home page The U.S. Treasury Yield Curve: 1961 to the Present
Refet S. Gurkaynak, Brian Sack, and Jonathan H. Wright
2006-28

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Full paper (2532 KB KB PDF) | Data (Excel file 30 MB XLS)

YEAR: MONTH: DAYSVENY01SVENY02SVENY03SVENY04SVENY05SVENY06SVENY07SVENY08SVENY09SVENY10SVENY11SVENY12SVENY13SVENY14SVENY15SVENY16SVENY17SVENY18SVENY19SVENY20SVENY21SVENY22SVENY23SVENY24SVENY25SVENY26SVENY27SVENY28SVENY29SVENY30SVENPY01SVENPY02SVENPY03SVENPY04SVENPY05SVENPY06SVENPY07SVENPY08SVENPY09SVENPY10SVENPY11SVENPY12SVENPY13SVENPY14SVENPY15SVENPY16SVENPY17SVENPY18SVENPY19SVENPY20SVENPY21SVENPY22SVENPY23SVENPY24SVENPY25SVENPY26SVENPY27SVENPY28SVENPY29SVENPY30SVENF01SVENF02SVENF03SVENF04SVENF05SVENF06SVENF07SVENF08SVENF09SVENF10SVENF11SVENF12SVENF13SVENF14SVENF15SVENF16SVENF17SVENF18SVENF19SVENF20SVENF21SVENF22SVENF23SVENF24SVENF25SVENF26SVENF27SVENF28SVENF29SVENF30SVEN1F01SVEN1F04SVEN1F09beta0beta1beta2beta3tau1tau2
1961: 6: 142.98253.37713.5533.64393.69873.73513.7612                       3.00253.39733.57243.66273.71693.7533.7787                       3.54923.88253.91493.91743.91763.91763.9176                       3.80673.9562 3.9176-1.278-1.9494 0.33922 
1961: 6: 152.99413.41373.59813.6933.75013.78823.8154                       3.01413.43393.61753.71173.76833.8063.8328                       3.59973.9463.97633.97843.97853.97853.9785                       3.86944.0183 3.9785-1.2574-2.2476 0.32577 
1961: 6: 163.00123.41423.59943.69533.75313.79173.8192                       3.02133.43463.61883.7143.77133.80943.8365                       3.59573.94483.98113.98413.98433.98433.9844                       3.86344.0242 3.9844-1.4295-1.885 0.34882 
1961: 6: 192.99493.43863.62523.71993.77683.81473.8418                       3.0153.45893.64463.73873.79513.83273.8595                       3.64473.98424.00354.00434.00444.00444.0044                       3.91964.0447 4.0044-0.72331-3.3107 0.28209 
1961: 6: 202.98333.41013.59863.69523.75333.79213.8198                       3.00343.43033.61783.71373.77133.80963.837                       3.58453.95523.9843.98573.98583.98583.9858                       3.87324.0257 3.9858-0.90043-2.8448 0.31032 
1961: 6: 212.99933.42363.61323.71073.76943.80853.8364                       3.01973.44413.63263.72943.78753.82623.8538                       3.5933.97024.00194.00394.00414.00414.0041                       3.88444.0444 4.0041-0.97167-2.7091 0.31877 
1961: 6: 222.98373.40363.59763.69813.75873.7993.8279                       3.0043.42393.61673.71643.77633.81623.8446                       3.55483.95833.99774.00074.00094.00094.0009                       3.85934.0411 4.0009-0.99291-2.6202 0.33522 
1961: 6: 232.97493.37063.57253.68163.74783.79213.8237                       2.99513.39083.59133.69913.76453.80813.8391                       3.49273.9284.00214.01214.01334.01354.0135                       3.8014.0535 4.0135-1.381-1.7641 0.42238 
1961: 6: 262.95633.36233.56783.67843.74553.79033.8224                       2.97623.38213.58623.69563.76183.8063.8374                       3.48833.93164.00394.01334.01444.01454.0145                       3.80294.0546 4.0145-1.382-1.8679 0.41386 
1961: 6: 272.96663.35933.56413.67783.74773.79453.828                       2.98653.37933.58263.69493.76373.80983.8426                       3.49353.91524.0084.02534.02834.02884.0289                       3.78654.068 4.0289-1.6682-1.1559 0.49789 
1961: 6: 282.9753.38243.58563.69533.7623.80663.8384                       2.99493.40243.60423.71273.77863.82253.8538                       3.52773.94474.01764.0284.02944.02954.0295                       3.82494.0697 4.0295-1.595-1.4773 0.43545 
1961: 6: 292.9583.35133.56173.67943.75193.80043.8352                       2.97793.37113.57993.69613.76753.81523.8492                       3.4733.91864.02024.03964.0434.04364.0437                       3.77884.0829 4.0437-1.6208-1.2935 0.50077 
1961: 6: 302.90113.27953.50363.63163.71093.7643.802                       2.92083.29893.52083.6473.72483.77693.8141                       3.33993.870344.0254.02934.034.0301                       3.69054.0686 4.0301-1.2868-1.9467 0.49386 
1961: 7: 32.93293.31053.52313.64423.71923.76963.8056                       2.95273.33023.5413.66043.73423.78353.8188                       3.40553.87553.99244.01634.02084.02164.0217                       3.72134.0598 4.0217-1.4958-1.4399 0.51539 
1961: 7: 52.93623.32513.53353.65553.73283.78543.8233                       2.95553.34453.55143.67163.74763.79913.836                       3.47163.87743.99964.03594.04654.04964.0505                       3.74774.0834 4.0509-1.9031-0.20771 0.75504 
1961: 7: 62.93063.32863.54083.66343.74063.79273.8302                       2.94973.34793.55843.67953.75533.80643.843                       3.4773.89344.0124.0444.05244.05454.055                       3.76064.0903 4.0552-1.9119-0.47427 0.66009 
1961: 7: 72.93693.3473.56243.68473.76083.8123.8486                       2.95613.36633.583.70083.77563.82593.8618                       3.49953.92544.03564.06154.06734.06854.0688                       3.79164.1067 4.0689-1.9141-0.71969 0.58527 
1961: 7: 102.92543.35653.57753.69943.77413.82413.8598                       2.94443.37563.59493.71533.78893.83813.8732                       3.51153.95954.05414.07114.07394.07434.0744                       3.82274.1146 4.0744-1.8474-1.2214 0.48947 
1961: 7: 112.89343.32873.55983.68843.76753.82053.8584                       2.91213.34743.57663.70363.78143.83343.8705                       3.46583.95374.06174.08164.0854.08564.0857                       3.79864.1258 4.0857-1.7839-1.4465 0.49255 
1961: 7: 122.8643.31453.5523.68513.76733.82243.8618                       2.88213.33263.56823.69963.78043.83453.873                       3.46823.95554.074.09314.09744.09824.0983                       3.79954.138 4.0983-1.9627-1.2128 0.52143 
1961: 7: 132.8623.31173.54793.67973.76093.81533.8542                       2.88013.32983.56413.69423.77413.82753.8656                       3.46433.95084.06154.0834.08694.08754.0876                       3.79594.1275 4.0876-1.9305-1.2805 0.50896 
1961: 7: 142.85063.30433.54443.68343.77093.83023.8727                       2.86833.3223.56033.69733.78323.84123.8828                       3.47843.94424.07774.11494.1254.12774.1284                       3.79244.1637 4.1287-2.2045-0.37251 0.6952 
1961: 7: 172.80983.28133.5293.66823.75433.8123.8533                       2.8273.29843.54423.68153.76623.82283.8633                       3.44733.94944.074.09534.10024.10124.1013                       3.78694.1407 4.1014-2.1004-1.1425 0.53537 
1961: 7: 182.79913.27683.52863.66933.75593.8143.8555                       2.81623.29393.54353.68233.76763.82463.8652                       3.43733.95734.07654.09984.1044.10474.1048                       3.78884.1448 4.1048-2.0469-1.3723 0.51042 
1961: 7: 192.78323.2673.52073.6613.74713.80473.8459                       2.80013.28383.53543.67393.75863.81523.8556                       3.42353.95624.06934.08934.09254.0934.0931                       3.78514.1335 4.0931-1.9688-1.6259 0.48133 
1961: 7: 202.77263.24983.49983.63823.72293.77973.8203                       2.78953.26653.51453.65113.73453.79033.83                       3.40383.92954.04064.06014.06324.06374.0638                       3.76074.1036 4.0638-1.936-1.6153 0.47993 
1961: 7: 212.74633.19643.45273.60253.69663.76013.8056                       2.7633.2133.46693.61443.70673.76883.8132                       3.32343.86884.02734.06714.07644.07854.0789                       3.67884.1146 4.079-1.9912-1.2546 0.5897 
1961: 7: 242.7523.21963.47723.62373.71453.77553.8191                       2.76883.23613.49143.63593.72513.78483.8275                       3.35543.90634.04484.07414.07984.08094.0811                       3.72014.1196 4.0811-1.9625-1.4987 0.52982 
1961: 7: 252.79263.2633.51853.66383.7543.81463.858                       2.80973.283.53333.67663.76523.82463.867                       3.41193.94544.08134.1114.1174.11824.1184                       3.76734.1574 4.1184-2.0506-1.2987 0.54428 
1961: 7: 262.82613.30223.55243.69033.77473.83113.8715                       2.84383.31973.56783.70393.7873.84243.8819                       3.44853.98324.09224.11044.11324.11364.1136                       3.81294.1548 4.1136-1.8495-1.7864 0.46621 
1961: 7: 272.8283.29523.55013.69753.793.85243.8971                       2.84553.31273.56533.71063.80133.86233.906                       3.45293.9714.11714.15424.16314.16514.1656                       3.79694.2032 4.1657-2.1631-0.92807 0.60832 
1961: 7: 282.81943.28683.54363.69243.78573.84873.8939                       2.83683.30423.55863.70523.79683.85843.9025                       3.44083.96624.11554.15354.16254.16464.1651                       3.78854.2026 4.1652-2.1519-0.98029 0.60642 
1961: 7: 312.7783.23043.50683.67873.79073.86783.9234                       2.79513.24733.52093.68973.79913.87393.9278                       3.34623.93124.15034.22484.24874.25614.2583                       3.71564.2841 4.2592-2.1736-0.99092 0.74302 
1961: 8: 12.83763.29683.55273.70433.80073.86633.9134                       2.85523.31443.5683.71723.81173.87573.9216                       3.45053.96734.13014.17824.19184.19554.1965                       3.79024.2305 4.1969-2.199-0.67068 0.69162 
1961: 8: 22.86823.34333.60213.74863.83933.90023.9437                       2.88643.36133.61783.76223.85133.91093.9535                       3.48674.03564.17064.19864.2044.20494.2051                       3.85374.2464 4.2051-2.0039-1.481 0.52512 
1961: 8: 32.86863.35463.62543.78053.87693.94173.9881                       2.88683.37263.64083.79353.88813.95153.9968                       3.49234.07334.22484.25824.2654.26634.2665                       3.87634.3082 4.2666-2.0551-1.5433 0.54178 
1961: 8: 42.87883.35513.62293.77733.87363.93853.9849                       2.89723.37333.63863.79063.8853.94843.9937                       3.48864.06294.21844.25414.26174.26324.2635                       3.8674.3045 4.2636-2.0402-1.4682 0.5561 
1961: 8: 72.95893.39953.65883.81763.92043.9914.0419                       2.97853.41893.67573.83173.93224.00094.0502                       3.52844.06484.25634.31994.34014.34634.3482                       3.87584.3791 4.349-2.1316-0.74097 0.74849 
1961: 8: 82.99833.43313.69723.85833.96194.03244.0832                       3.01873.45323.71463.87293.9744.04264.0918                       3.53744.1084.30584.36574.38254.38714.3883                       3.90414.424 4.3887-1.9934-1.2139 0.6668 
1961: 8: 93.00963.4543.71493.87013.96854.03514.0829                       3.033.47423.73263.88523.98144.04634.0928                       3.56874.13074.30684.35444.36644.36924.3699                       3.93524.4096 4.3701-1.9807-1.2796 0.61672 
1961: 8: 103.03923.46263.71223.86243.95844.02364.0705                       3.06013.48343.73053.87823.97214.03564.0812                       3.57654.10664.28224.33364.34774.35144.3523                       3.92264.3896 4.3526-1.9512-1.0531 0.65738 
1961: 8: 113.04633.45583.70183.84843.94114.00384.0488                       3.06763.47693.72053.86463.95534.01654.0602                       3.5464.09144.2614.30534.31594.31844.3189                       3.90154.3587 4.3191-1.7511-1.4234 0.59591 
1961: 8: 143.0763.48243.72063.86123.94994.00994.0528                       3.09763.50393.73983.87823.9654.02354.0654                       3.58384.1024.25854.29874.30834.31044.3109                       3.92564.3513 4.311-1.7667-1.2785 0.59354 
1961: 8: 153.07893.4853.72173.8613.94884.00814.0506                       3.10063.50663.7413.87813.96414.0224.0634                       3.58874.10194.25524.29424.30344.30544.3059                       3.9284.3464 4.306-1.7671-1.2595 0.59062 
1961: 8: 163.07413.47893.71213.84833.93383.99144.0327                       3.09573.50043.73143.86553.94934.00564.0458                       3.58474.08984.23514.27064.27854.28034.2806                       3.92064.3215 4.2807-1.7435-1.2731 0.57551 
1961: 8: 173.07223.46133.6853.81633.89893.95473.9947                       3.09393.48293.70453.83383.91483.96934.0083                       3.5674.04644.18814.2244.23254.23444.2348                       3.88654.2743 4.2349-1.7139-1.1236 0.59273 
1961: 8: 183.02293.42883.65773.78573.86423.91683.9543                       3.04423.44983.67663.80273.87993.93143.9682                       3.50934.04284.15714.17634.17934.17974.1797                       3.87054.2222 4.1797-1.3349-2.0731 0.46301 
1961: 8: 213.03613.44443.6713.79543.87133.92193.9581                       3.05773.46573.69023.81293.88753.93733.9727                       3.51534.05954.15934.17344.17524.17544.1754                       3.88894.2184 4.1754-1.0943-2.4799 0.4255 
1961: 8: 223.03293.43063.65733.78363.86093.91273.9496                       3.05453.45183.67643.80093.87693.92773.9638                       3.49564.03914.15084.16864.17124.17154.1716                       3.86394.2141 4.1716-1.1722-2.284 0.44949 
1961: 8: 233.04023.44223.66913.79523.87253.92413.961                       3.06183.46353.68833.81273.88863.93923.9754                       3.51414.05274.16234.17974.18214.18254.1825                       3.88024.2253 4.1825-1.215-2.241 0.44863 
1961: 8: 243.02533.41853.64533.77583.85693.91133.9503                       3.04643.43943.66423.79273.87233.92563.9636                       3.50684.01694.14954.17764.18314.1844.1842                       3.84694.2251 4.1843-1.5375-1.5856 0.52438 
1961: 8: 253.02353.41673.64283.77353.8553.90983.949                       3.04453.43763.66163.79033.87033.92393.9622                       3.51244.01194.14674.17694.18314.18434.1846                       3.84524.2248 4.1846-1.6086-1.4285 0.543 
1961: 8: 283.01473.40393.63023.76213.84463.90023.94                       3.03563.42463.64893.77873.85963.9143.9529                       3.49683.99674.13724.17024.17724.17874.1789                       3.82814.2184 4.179-1.6153-1.3856 0.55761 
1961: 8: 293.02263.40593.63013.76183.84463.90063.9406                       3.04363.42683.64893.77863.85983.91453.9535                       3.49963.99054.13494.17084.1794.18084.1812                       3.82424.2198 4.1813-1.6377-1.2697 0.57941 
1961: 8: 303.02683.41833.64363.77453.85643.91153.951                       3.04783.43923.66253.79143.87173.92563.9642                       3.5174.014.14744.17944.18634.18774.188                       3.84514.2278 4.1881-1.6435-1.3301 0.55809 
1961: 8: 312.98633.3993.64813.79193.88123.94123.9841                       3.00713.41943.6663.80753.8953.95363.9955                       3.45914.05124.20384.23484.24054.24154.2417                       3.84694.2837 4.2417-1.4278-2.1246 0.50752 
1961: 9: 13.03613.44093.67033.80253.88493.94033.9799                       3.05713.46183.68923.81943.90023.95453.9932                       3.54794.04674.18044.21044.21664.21784.2181                       3.88174.259 4.2181-1.693-1.3587 0.54628 
1961: 9: 53.04353.45133.67833.80823.88893.94313.9819                       3.06463.47233.69743.82543.90463.95773.9956                       3.56594.05444.18064.20814.21354.21464.2148                       3.89534.2562 4.2148-1.7124-1.3215 0.53742 
1961: 9: 63.04113.46233.68583.81053.88733.93883.9756                       3.0623.48323.70483.8283.90353.9543.9901                       3.59764.0664.17214.19234.19584.19644.1965                       3.92034.2388 4.1965-1.7594-1.323 0.50163 
1961: 9: 73.03983.46163.68633.81113.88773.9393.9756                       3.06083.48253.70543.82853.90393.95423.9901                       3.58814.07014.17374.19214.1954.19554.1955                       3.92034.2382 4.1956-1.665-1.5418 0.48008 
1961: 9: 83.053.47873.70213.82513.90043.95073.9867                       3.0713.49973.72133.84283.91693.96634.0016                       3.61714.08764.18374.19994.20234.20274.2028                       3.94474.2459 4.2028-1.7099-1.5096 0.46969 
1961: 9: 113.05583.46613.68643.80973.88553.93643.9727                       3.07713.48733.70583.82743.9023.95193.9875                       3.59044.05994.16654.18674.19024.19084.1909                       3.91314.2331 4.1909-1.6717-1.3962 0.4978 
1961: 9: 123.05063.46433.6863.80973.88573.93663.973                       3.07183.48543.70533.82733.90213.9523.9877                       3.58714.06324.16844.18764.19084.19134.1914                       3.91464.2338 4.1914-1.6484-1.486 0.48773 
1961: 9: 133.05713.4623.67963.80123.8763.92613.9619                       3.07843.48323.69913.81913.89273.94183.9769                       3.5824.0494.15364.1734.17634.17684.1769                       3.90344.219 4.1769-1.6226-1.4382 0.49162 
1961: 9: 143.06133.46523.68023.79993.87353.92293.9581                       3.08263.48653.69983.8183.89043.93883.9733                       3.58994.04654.14744.1664.16914.16964.1696                       3.90564.2117 4.1697-1.6385-1.3807 0.4905 
1961: 9: 153.05573.46273.67623.79433.86673.91523.9499                       3.07693.48393.69573.81243.88373.93133.9653                       3.59414.04274.13794.15474.15744.15784.1579                       3.90644.1999 4.1579-1.6542-1.3727 0.48104 
1961: 9: 183.04933.44943.66383.78413.85833.90813.9437                       3.07053.47053.68323.8023.8753.92383.9586                       3.57464.02664.1324.15284.15654.15724.1573                       3.88564.1986 4.1573-1.6744-1.2591 0.50968 
1961: 9: 193.05613.45433.66223.77763.84843.89583.9297                       3.07723.47553.68193.79583.86553.91213.9454                       3.58824.01894.11264.12984.13274.13324.1332                       3.88884.1746 4.1333-1.6707-1.2215 0.4926 
1961: 9: 203.06273.46263.6663.77743.84553.89113.9236                       3.08393.48393.68593.7963.86313.90793.9399                       3.60514.02014.10284.11664.11874.1194.119                       3.8994.1606 4.119-1.665-1.2433 0.4703 
1961: 9: 213.063.45063.64433.753.81453.85773.8886                       3.08113.47193.66433.76893.83253.87513.9054                       3.60513.98424.05884.07154.07354.07384.0738                       3.87744.1145 4.0738-1.7194-0.99134 0.47829 
1961: 9: 223.04793.43993.63473.74113.80623.84983.8809                       3.06883.4613.65453.75983.8243.86693.8975                       3.59573.97574.0524.06534.06744.06774.0678                       3.86794.1083 4.0678-1.742-0.95179 0.48559 
1961: 9: 253.04733.43453.62663.73183.79623.83933.8701                       3.06823.45563.64643.75053.8143.85643.8867                       3.59113.96264.03864.05224.05454.05494.055                       3.85754.0951 4.055-1.749-0.86368 0.49537 
1961: 9: 263.04843.42233.60283.70063.76033.80033.8288                       3.06933.44353.62293.71983.77883.81813.8462                       3.58463.92243.98713.99813.99984.00014.0001                       3.83164.0395 4.0002-1.7248-0.75031 0.48452 
1961: 9: 273.03853.42323.60783.70723.76773.80813.837                       3.05923.44423.62773.72623.78593.82583.8542                       3.5883.9373.99924.00884.01014.01034.0103                       3.84364.0501 4.0103-1.7199-0.92815 0.45816 
1961: 9: 283.02693.42373.61133.71113.77163.81193.8408                       3.04743.44453.6313.72993.78963.82953.8579                       3.59183.95014.00564.01284.01374.01384.0138                       3.85654.0539 4.0138-1.6664-1.2206 0.41951 
1961: 9: 292.93583.3253.54123.66613.74423.79683.8345                       2.95533.34453.5593.68213.75883.81033.8472                       3.44343.89714.02234.05234.0594.06044.0607                       3.74794.0979 4.0608-1.7271-1.026 0.57537 
1961: 10: 22.99323.39243.58993.70033.76873.81483.8478                       3.0133.41253.60873.71793.78533.83063.863                       3.56913.93124.01854.03954.04454.04574.0459                       3.82694.0837 4.046-1.9693-0.10343 0.6695 
1961: 10: 33.0053.40853.60463.71333.78043.82553.8578                       3.02493.42883.62373.73113.79733.84173.8734                       3.59353.94684.02774.04624.05044.05144.0516                       3.84784.0901 4.0517-2.0013-0.01539 0.6731 
1961: 10: 42.99073.38163.56693.66833.73063.77243.8023                       3.01043.40173.5863.68643.7483.78913.8186                       3.56923.89473.96353.9783.9813.98173.9818                       3.80764.0197 3.9819-1.95390.011664 0.64699 
1961: 10: 52.97033.35623.54193.64423.70723.74963.7799                       2.98983.37613.56073.66193.72423.76593.7957                       3.53653.86763.9413.95723.96083.96163.9618                       3.77663.9989 3.9618-1.91950.016807 0.6694 
1961: 10: 62.97113.36763.55583.65883.72213.76463.795                       2.99043.38733.57453.67653.7393.78093.8108                       3.55743.88843.95853.97343.97663.97723.9774                       3.7994.0152 3.9774-1.9810.0045861 0.64617 
1961: 10: 93.00623.40263.59353.69263.7493.78413.8079                       3.02633.4233.61273.7113.7673.8023.8257                       3.5753.93463.99333.98333.96623.95423.9474                       3.83464.0143 3.9407-1.80810.95542 1.0798 
1961: 10: 102.95953.37353.59143.70513.76353.79283.8069