Financial market data - yield curve - Published series

Data - ECB

Info

source dataset .html .RData

ecb

YC_PUB

2024-09-19 2024-10-08

Data on monetary policy

source dataset .html .RData

bdf

FM

2024-07-26 2024-06-18

bdf

MIR

2024-07-26 2024-07-01

bdf

MIR1

2024-07-26 2024-07-01

bis

CBPOL

2024-08-09 2024-09-15

ecb

BSI

2024-10-08 2024-09-16

ecb

BSI_PUB

2024-10-08 2024-10-08

ecb

FM

2024-10-08 2024-10-08

ecb

ILM

2024-10-08 2024-10-08

ecb

ILM_PUB

2024-10-08 2024-09-10

ecb

liq_daily

2024-10-08 2024-09-11

ecb

MIR

2024-06-19 2024-10-08

ecb

RAI

2024-10-08 2024-10-08

ecb

SUP

2024-10-08 2024-10-08

ecb

YC

2024-09-19 2024-09-16

ecb

YC_PUB

2024-09-19 2024-10-08

eurostat

ei_mfir_m

2024-09-30 2024-09-15

eurostat

irt_st_m

2024-09-30 2024-10-08

fred

r

2024-09-18 2024-09-18

oecd

MEI

2024-04-16 2024-06-30

oecd

MEI_FIN

2024-09-15 2024-05-21

Data on interest rates

source dataset .html .RData

bdf

FM

2024-07-26 2024-06-18

bdf

MIR

2024-07-26 2024-07-01

bdf

MIR1

2024-07-26 2024-07-01

bis

CBPOL_D

2024-09-13 2024-05-10

bis

CBPOL_M

2024-08-09 2024-04-19

ecb

FM

2024-10-08 2024-10-08

ecb

MIR

2024-06-19 2024-10-08

eurostat

ei_mfir_m

2024-09-30 2024-09-15

eurostat

irt_lt_mcby_d

2024-09-30 2024-08-28

eurostat

irt_st_m

2024-09-30 2024-10-08

fred

r

2024-09-18 2024-09-18

oecd

MEI

2024-04-16 2024-06-30

oecd

MEI_FIN

2024-09-15 2024-05-21

wdi

FR.INR.RINR

2024-08-28 2024-09-18

Last

TIME_PERIOD FREQ Nobs
2024-10-07 B 10

TITLE

Code
YC_PUB %>%
  group_by(TITLE) %>%
  summarise(Nobs = n()) %>%
  arrange(-Nobs) %>%
  print_table_conditional
TITLE Nobs
Yield curve instantaneous forward rate, 1-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5137
Yield curve instantaneous forward rate, 10-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5137
Yield curve instantaneous forward rate, 2-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5137
Yield curve instantaneous forward rate, 5-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5137
Yield curve spot rate, 1-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5137
Yield curve spot rate, 10-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5137
Yield curve spot rate, 2-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5137
Yield curve spot rate, 3-month maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5137
Yield curve spot rate, 5-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5137
Yield curve spot rate, spread between the 10-year and 1-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5137

INSTRUMENT_FM

Code
YC_PUB %>%
  left_join(INSTRUMENT_FM,  by = "INSTRUMENT_FM") %>%
  group_by(INSTRUMENT_FM, Instrument_fm) %>%
  summarise(Nobs = n()) %>%
  arrange(-Nobs) %>%
  print_table_conditional
INSTRUMENT_FM Instrument_fm Nobs
G_N_A Government bond, nominal, all issuers whose rating is triple A 51370

DATA_TYPE_FM

Code
YC_PUB %>%
  left_join(DATA_TYPE_FM,  by = "DATA_TYPE_FM") %>%
  group_by(DATA_TYPE_FM, Data_type_fm) %>%
  summarise(Nobs = n()) %>%
  arrange(-Nobs) %>%
  print_table_conditional
DATA_TYPE_FM Data_type_fm Nobs
IF_10Y Yield curve instantaneous forward rate, 10-year maturity 5137
IF_1Y Yield curve instantaneous forward rate, 1-year maturity 5137
IF_2Y Yield curve instantaneous forward rate, 2-year maturity 5137
IF_5Y Yield curve instantaneous forward rate, 5-year maturity 5137
SRS_10Y_1Y Yield curve spot rate, spread between the 10-year and 1-year maturity 5137
SR_10Y Yield curve spot rate, 10-year maturity 5137
SR_1Y Yield curve spot rate, 1-year maturity 5137
SR_2Y Yield curve spot rate, 2-year maturity 5137
SR_3M Yield curve spot rate, 3-month maturity 5137
SR_5Y Yield curve spot rate, 5-year maturity 5137

TIME_PERIOD

Code
YC_PUB %>%
  group_by(TIME_PERIOD) %>%
  summarise(Nobs = n()) %>%
  arrange(desc(TIME_PERIOD)) %>%
  print_table_conditional()

Government bond, nominal, all issuers whose rating is triple A

1 year, 10 year

Code
YC_PUB %>%
  filter(DATA_TYPE_FM %in% c("SR_10Y", "SR_1Y")) %>%
  select_if(~ n_distinct(.) > 1) %>%
  rename(date = TIME_PERIOD) %>%
  arrange(desc(date)) %>%
  left_join(DATA_TYPE_FM,  by = "DATA_TYPE_FM") %>%
  ggplot + geom_line(aes(x = date, y = OBS_VALUE/100, color = Data_type_fm)) +
  theme_minimal() + xlab("") + ylab("2-year rates") +
  scale_x_date(breaks = seq(1960, 2100, 2) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 50, 0.5),
                     labels = percent_format(accuracy = .1)) +
  theme(legend.position = c(0.6, 0.9),
        legend.title = element_blank())

2 years, 5 years, 7 years

Code
YC_PUB %>%
  filter(DATA_TYPE_FM %in% c("SR_2Y", "SR_5Y", "SR_7Y")) %>%
  select_if(~ n_distinct(.) > 1) %>%
  rename(date = TIME_PERIOD) %>%
  arrange(desc(date)) %>%
  left_join(DATA_TYPE_FM,  by = "DATA_TYPE_FM") %>%
  ggplot + geom_line(aes(x = date, y = OBS_VALUE/100, color = Data_type_fm)) +
  theme_minimal() + xlab("") + ylab("2-year rates") +
  scale_x_date(breaks = seq(1960, 2100, 2) %>% paste0("-01-01") %>% as.Date,
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 50, 0.5),
                     labels = percent_format(accuracy = .1)) +
  theme(legend.position = c(0.6, 0.9),
        legend.title = element_blank())