Discussion Paper

No. 2018-67 | September 19, 2018
Zero-coupon interest rates: evaluating three alternative datasets


The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such decision may matter, examines the properties of each dataset, and explores what effect such datasets have on some important variables derived from the analysis of the time series of zero coupon yield curves. The authors provide guidance to final users for selecting a yield curve dataset.

JEL Classification:

E43, F31, G12, G13, G15


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Cite As

Antonio Díaz, Francisco Jareño, and Eliseo Navarro (2018). Zero-coupon interest rates: evaluating three alternative datasets. Economics Discussion Papers, No 2018-67, Kiel Institute for the World Economy. http://www.economics-ejournal.org/economics/discussionpapers/2018-67

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