Reconstructing the yield curve

• 成果类型: Article
• 署名作者: Liu, Yan; Wu, Jing Cynthia
• 署名单位: Purdue University System; Purdue University; University of Notre Dame; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.059
• 发表日期: 2021
• 页码: 1395-1425
• 关键词: Yield curve; term structure of interest rates; Return forecasting regressions; excess volatility; Non-parametric method

摘要

The constant maturity zero-coupon yield curve for the US Treasuries is one of the most studied datasets. We construct a new yield curve using a non-parametric kernel-smoothing method with a novel adaptive bandwidth specifically designed to fit the Treasury yields. Our curve is globally smooth while still capturing important local variation. Economically, we show that applying our data leads to different conclusions from using the leading alternative data of Gurkaynak et al. (2007) (GSW) when we repeat two popular studies of Cochrane and Piazzesi (2005) and Giglio and Kelly (2018). Statistically, we show our dataset preserves information in the raw data and has much smaller pricing errors than GSW. Our new yield curve is maintained and updated online, complemented by bandwidths that summarize information content in the raw data. (c) 2021 Elsevier B.V. All rights reserved.