Financial market data - yield curve - Published series

Data - ECB

Author

Info

source	dataset	.html	.RData
ecb	YC_PUB	2024-06-20	2024-06-30

Data on monetary policy

source	dataset	.html	.RData
bdf	FM	2024-06-30	2024-06-18
bdf	MIR	2024-06-30	2024-06-30
bdf	MIR1	2024-06-30	2024-06-30
bis	CBPOL	2024-06-19	2024-06-07
ecb	BSI	2024-06-30	2024-05-21
ecb	BSI_PUB	2024-06-30	2024-06-30
ecb	FM	2024-06-30	2024-06-30
ecb	ILM	2024-06-30	2024-06-30
ecb	ILM_PUB	2024-06-30	2024-01-25
ecb	liq_daily	2024-06-30	2024-05-21
ecb	MIR	2024-06-19	2024-06-30
ecb	RAI	2024-06-07	2024-06-30
ecb	SUP	2024-06-30	2024-06-30
ecb	YC	2024-06-20	2024-05-21
ecb	YC_PUB	2024-06-20	2024-06-30
eurostat	ei_mfir_m	2024-06-23	2024-06-08
eurostat	irt_st_m	2024-06-23	2024-06-30
fred	r	2024-06-30	2024-06-30
oecd	MEI	2024-04-16	2024-06-30
oecd	MEI_FIN	2024-06-20	2024-05-21

Data on interest rates

source	dataset	.html	.RData
bdf	FM	2024-06-30	2024-06-18
bdf	MIR	2024-06-30	2024-06-30
bdf	MIR1	2024-06-30	2024-06-30
bis	CBPOL_D	2024-06-19	2024-05-10
bis	CBPOL_M	2024-06-19	2024-04-19
ecb	FM	2024-06-30	2024-06-30
ecb	MIR	2024-06-19	2024-06-30
eurostat	ei_mfir_m	2024-06-23	2024-06-08
eurostat	irt_lt_mcby_d	2024-06-23	2024-06-08
eurostat	irt_st_m	2024-06-23	2024-06-30
fred	r	2024-06-30	2024-06-30
oecd	MEI	2024-04-16	2024-06-30
oecd	MEI_FIN	2024-06-20	2024-05-21
wdi	FR.INR.RINR	2024-01-06	2024-04-14

Last

TIME_PERIOD	FREQ	Nobs
2024-06-27	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)	5065
Yield curve instantaneous forward rate, 10-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition)	5065
Yield curve instantaneous forward rate, 2-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition)	5065
Yield curve instantaneous forward rate, 5-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition)	5065
Yield curve spot rate, 1-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition)	5065
Yield curve spot rate, 10-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition)	5065
Yield curve spot rate, 2-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition)	5065
Yield curve spot rate, 3-month maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition)	5065
Yield curve spot rate, 5-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition)	5065
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)	5065

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	50650

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	5065
IF_1Y	Yield curve instantaneous forward rate, 1-year maturity	5065
IF_2Y	Yield curve instantaneous forward rate, 2-year maturity	5065
IF_5Y	Yield curve instantaneous forward rate, 5-year maturity	5065
SRS_10Y_1Y	Yield curve spot rate, spread between the 10-year and 1-year maturity	5065
SR_10Y	Yield curve spot rate, 10-year maturity	5065
SR_1Y	Yield curve spot rate, 1-year maturity	5065
SR_2Y	Yield curve spot rate, 2-year maturity	5065
SR_3M	Yield curve spot rate, 3-month maturity	5065
SR_5Y	Yield curve spot rate, 5-year maturity	5065

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())