Federal Reserve interest rates
The data-set contains the interest rates of the Federal Reserve, from January 1982 to December 2012. The interest rates are Market yield on U.S. Treasury securities constant maturity (CMT) (more information on the Treasury yield curve can be found at the following website http://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/yieldmethod.aspx) at different maturities (3 months, 6 months, 1 year, 2 years, 3 years, 5 years, 7 years and 10 years), quoted on investment basis and have been gathered with monthly frequency.
data(FedYieldCurve)
An object with class attributes xts.
require(xts)
require(YieldCurve)
data(FedYieldCurve)
first(FedYieldCurve,'3 month')
last(FedYieldCurve,'3 month')
mat<-c(3/12, 0.5, 1,2,3,5,7,10)
par(mfrow=c(2,3))
for( i in c(1,2,3,370,371,372) ){
plot(mat, FedYieldCurve[i,], type="o", xlab="Maturities structure in years", ylab="Interest rates values")
title(main=paste("Federal Reserve yield curve obeserved at",time(FedYieldCurve[i], sep=" ") ))
grid()
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