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

    Metadata Updated: December 18, 2024

    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.

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    Dates

    Metadata Created Date December 18, 2024
    Metadata Updated Date December 18, 2024

    Metadata Source

    Harvested from Federal Reserve

    Other Data Resources

    Additional Metadata

    Resource Type Dataset
    Metadata Created Date December 18, 2024
    Metadata Updated Date December 18, 2024
    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 99156122-6ac5-41af-8600-311f811ea3ce
    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 4811e1546648546489d57f6e4a03c9e510c58245c51b2aa68d4868269e8d8ba5
    Source Schema Version 1.1

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