Financial market data - yield curve - Published series

Data - ECB

Author

François Geerolf

Info

source dataset .html .RData
ecb YC_PUB 2024-12-28 2024-12-29

Data on monetary policy

source dataset .html .RData
bdf FM 2024-12-28 2024-12-28
bdf MIR 2024-07-26 2024-07-01
bdf MIR1 2024-11-29 2024-12-09
bis CBPOL 2024-12-19 2024-12-29
ecb BSI 2024-12-29 2024-11-19
ecb BSI_PUB 2024-12-29 2024-12-29
ecb FM 2024-12-29 2024-12-29
ecb ILM 2024-12-29 2024-12-29
ecb ILM_PUB 2024-12-29 2024-09-10
ecb liq_daily 2024-12-29 2024-09-11
ecb MIR 2024-06-19 2024-12-29
ecb RAI 2024-12-29 2024-12-29
ecb SUP 2024-12-29 2024-12-29
ecb YC 2024-12-28 2024-11-19
ecb YC_PUB 2024-12-28 2024-12-29
eurostat ei_mfir_m 2024-12-28 2024-12-28
eurostat irt_st_m 2024-12-28 2024-12-29
fred r 2024-12-29 2024-12-29
oecd MEI 2024-04-16 2024-06-30
oecd MEI_FIN 2024-09-15 2024-12-22

Data on interest rates

source dataset .html .RData
bdf FM 2024-12-28 2024-12-28
bdf MIR 2024-07-26 2024-07-01
bdf MIR1 2024-11-29 2024-12-09
bis CBPOL_D 2024-12-28 2024-05-10
bis CBPOL_M 2024-12-28 2024-04-19
ecb FM 2024-12-29 2024-12-29
ecb MIR 2024-06-19 2024-12-29
eurostat ei_mfir_m 2024-12-28 2024-12-28
eurostat irt_lt_mcby_d 2024-12-28 2024-12-28
eurostat irt_st_m 2024-12-28 2024-12-29
fred r 2024-12-29 2024-12-29
oecd MEI 2024-04-16 2024-06-30
oecd MEI_FIN 2024-09-15 2024-12-22
wdi FR.INR.RINR 2024-12-28 2024-12-28

Last

TIME_PERIOD FREQ Nobs
2024-12-24 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) 5193
Yield curve instantaneous forward rate, 10-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5193
Yield curve instantaneous forward rate, 2-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5193
Yield curve instantaneous forward rate, 5-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5193
Yield curve spot rate, 1-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5193
Yield curve spot rate, 10-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5193
Yield curve spot rate, 2-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5193
Yield curve spot rate, 3-month maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5193
Yield curve spot rate, 5-year maturity - Government bond, nominal, all issuers whose rating is triple A - Euro area (changing composition) 5193
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) 5193

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 51930

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 5193
IF_1Y Yield curve instantaneous forward rate, 1-year maturity 5193
IF_2Y Yield curve instantaneous forward rate, 2-year maturity 5193
IF_5Y Yield curve instantaneous forward rate, 5-year maturity 5193
SRS_10Y_1Y Yield curve spot rate, spread between the 10-year and 1-year maturity 5193
SR_10Y Yield curve spot rate, 10-year maturity 5193
SR_1Y Yield curve spot rate, 1-year maturity 5193
SR_2Y Yield curve spot rate, 2-year maturity 5193
SR_3M Yield curve spot rate, 3-month maturity 5193
SR_5Y Yield curve spot rate, 5-year maturity 5193

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())