On the Construction of Monthly Term Structures of U.S. Interest Rates, 1919-1930
AbstractThis 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 InfoArticle provided by Society for Computational Economics in its journal Computer Science in Economics & Management.
Volume (Year): 5 (1992)
Issue (Month): 3 (August)
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- Hautcoeur, Pierre-Cyrille & Sicsic, Pierre, 1999.
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- Stephen R. Blough, 1994. "Yield curve forecasts of inflation: a cautionary tale," New England Economic Review, Federal Reserve Bank of Boston, issue May, pages 3-16.
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