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Zero-coupon interest rates: Evaluating three alternative datasets

Author

Listed:
  • Díaz, Antonio
  • Jareño, Francisco
  • Navarro, Eliseo

Abstract

The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such decision may matter, examines the properties of each dataset, and explores what effect such datasets have on some important variables derived from the analysis of the time series of zero coupon yield curves. The authors provide guidance to final users for selecting a yield curve dataset.

Suggested Citation

  • Díaz, Antonio & Jareño, Francisco & Navarro, Eliseo, 2018. "Zero-coupon interest rates: Evaluating three alternative datasets," Economics Discussion Papers 2018-67, Kiel Institute for the World Economy (IfW Kiel).
    • Handle: RePEc:zbw:ifwedp:201867
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    References listed on IDEAS

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    More about this item

    Keywords

    term structure; yield curve data; volatility; forward rates; correlation; expectations hypothesis;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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