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On the Construction of Monthly Term Structures of U.S. Interest Rates, 1919-1930


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  • Baum, Christopher F
  • Thies, Clifford F


This paper presents the methodology used to construct reliable estimates of the term structure of interest rates for the United States during 1919-30. These monthly term structures are based on individual corporate bonds' price quotations for the majority of U.S. railroad corporations' issues of that era. J. McCulloch's (1971, 1975) cubic spline methodology, coupled with C. Nelson and A. Siegel's (1987) parsimonious estimator, is used to derive curves for three investment-grade risk classes. These estimates compare favorably with D. Durand's (1958) hand-smoothed estimates as well as earlier annual estimates generated by C. Thies (1985). They provide a consistent basis a wide range of monetary and financial research on this period. Citation Copyright 1992 by Kluwer Academic Publishers.

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Bibliographic Info

Article provided by Society for Computational Economics in its journal Computer Science in Economics & Management.

Volume (Year): 5 (1992)
Issue (Month): 3 (August)
Pages: 221-46

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Handle: RePEc:kap:csecmg:v:5:y:1992:i:3:p:221-46

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Cited by:
  1. Christopher F. Baum & Clifford F. Thies, 1997. "Reexamining the Term Structure of Interest Rates and the Interwar Demand for Money," Boston College Working Papers in Economics, Boston College Department of Economics 384, Boston College Department of Economics.
  2. Hautcoeur, Pierre-Cyrille & Sicsic, Pierre, 1999. "Threat of a capital levy, expected devaluation and interest rates in France during the interwar period," European Review of Economic History, Cambridge University Press, Cambridge University Press, vol. 3(01), pages 25-56, April.
  3. Stephen R. Blough, 1994. "Yield curve forecasts of inflation: a cautionary tale," New England Economic Review, Federal Reserve Bank of Boston, Federal Reserve Bank of Boston, issue May, pages 3-16.


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