Skip to main content
U.S. flag

An official website of the United States government

Official websites use .gov
A .gov website belongs to an official government organization in the United States.

Secure .gov websites use HTTPS
A lock ( ) or https:// means you’ve safely connected to the .gov website. Share sensitive information only on official, secure websites.

Skip to content

Try the next-generation Data Catalog at catalog-beta.data.gov and help shape it with your feedback.

  • Feedback

    • Yield Curve Models and Data - Three-Factor Nominal Term Structure Model

    Metadata Updated: January 28, 2026

    This is a no-arbitrage dynamic term structure model, implemented as in Kim and Wright using the methodology of Kim and Orphanides. The underlying model is the standard affine Gaussian model with three factors that are latent (i.e., the factors are defined only statistically and do not have a specific economic meaning). The model is parameterized in a maximally flexible way (i.e., it is the most general model of its kind with three factors that are econometrically identified). In the estimation of the parameters of the model, data on survey forecasts of 3-month Treasury bill (T-bill) rate are used in addition to yields data in order to help address the small sample problems that often pervade econometric estimation with persistent time series like bond yields.

    Access & Use Information

    Public: This dataset is intended for public access and use. License: No license information was provided. If this work was prepared by an officer or employee of the United States government as part of that person's official duties it is considered a U.S. Government Work.

    Downloads & Resources

    Dates

    Metadata Created Date December 18, 2024
    Metadata Updated Date January 28, 2026

    Metadata Source

    Harvested from Federal Reserve

    Other Data Resources

    Additional Metadata

    Resource Type Dataset
    Metadata Created Date December 18, 2024
    Metadata Updated Date January 28, 2026
    Publisher Board of Governors of the Federal Reserve System
    Maintainer
    Identifier FRBCNA41
    Data Last Modified R/P1W
    Public Access Level public
    Bureau Code 920:00
    Schema Version https://project-open-data.cio.gov/v1.1/schema
    Harvest Object Id 060846c0-69d9-4d77-91f5-a6e2d3b38276
    Harvest Source Id ed4f9073-f069-4049-8ee0-17ff5c98cd46
    Harvest Source Title Federal Reserve
    Homepage URL https://www.federalreserve.gov/data/three-factor-nominal-term-structure-model.htm
    Program Code 920:000
    Source Datajson Identifier True
    Source Hash de836cf6c4b40a8b0aecb631f56f46bc0c1f86a2bf060e5c809329ba4c67ee69
    Source Schema Version 1.1

    Didn't find what you're looking for? Suggest a dataset here.