Financial market data - yield curve - Published series
Data - ECB
Info
Data on monetary policy
source | dataset | .html | .RData |
---|---|---|---|
2024-07-26 | 2024-06-18 | ||
2024-07-26 | 2024-07-01 | ||
2024-07-26 | 2024-07-01 | ||
2024-08-09 | 2024-09-15 | ||
2024-10-08 | 2024-09-16 | ||
2024-10-08 | 2024-10-08 | ||
2024-10-08 | 2024-10-08 | ||
2024-10-08 | 2024-10-08 | ||
2024-10-08 | 2024-09-10 | ||
2024-10-08 | 2024-09-11 | ||
2024-06-19 | 2024-10-08 | ||
2024-10-08 | 2024-10-08 | ||
2024-10-08 | 2024-10-08 | ||
2024-09-19 | 2024-09-16 | ||
2024-09-19 | 2024-10-08 | ||
2024-09-30 | 2024-09-15 | ||
2024-09-30 | 2024-10-08 | ||
2024-09-18 | 2024-09-18 | ||
2024-04-16 | 2024-06-30 | ||
2024-09-15 | 2024-05-21 |
Data on interest rates
source | dataset | .html | .RData |
---|---|---|---|
2024-07-26 | 2024-06-18 | ||
2024-07-26 | 2024-07-01 | ||
2024-07-26 | 2024-07-01 | ||
2024-09-13 | 2024-05-10 | ||
2024-08-09 | 2024-04-19 | ||
2024-10-08 | 2024-10-08 | ||
2024-06-19 | 2024-10-08 | ||
2024-09-30 | 2024-09-15 | ||
2024-09-30 | 2024-08-28 | ||
2024-09-30 | 2024-10-08 | ||
2024-09-18 | 2024-09-18 | ||
2024-04-16 | 2024-06-30 | ||
2024-09-15 | 2024-05-21 | ||
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") %>%
+ geom_line(aes(x = date, y = OBS_VALUE/100, color = Data_type_fm)) +
ggplot 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") %>%
+ geom_line(aes(x = date, y = OBS_VALUE/100, color = Data_type_fm)) +
ggplot 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())