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Published September 6, 2022 | Version v1
Dataset Open

France Treasury Instantaneous Forward Rate Curves

Creators

  • 1. Division of Monetary Affairs, Federal Reserve Board, Washington, USA
  • 2. Université de Rennes, CNRS, CREM, France
  • 3. Institut Agro Rennes-Angers, INRAe, SMART (Rennes), France

Description

French forward rate curves from October 22, 1987, through May 12, 2022. The file contains the French forward rate curves we can construct using a Svensson methodology and all available public data of French nominal government debt securities called OATs (Obligations Assimilables du Trésor) from October 22, 1987, through May 12, 2022. Please consult Grishchenko, Moraux and Pakulyak (2020) for extended details on the methodology, model fit, etc.

Notes

NB: 1) Other datasets of interest are France Yield Curves available at https://doi.org/10.5281/zenodo.7053776 and France Par-Yield Curves available at https://doi.org/10.5281/zenodo.7054315. 2) An early version of this dataset (i.e. a subset) has been described and fully analyzed in Grishchenko, Moraux and Pakulyak (2020). You may find related data in some separate Zenodo's files entitled "Fuel up with OATmeals!". Corresponding article: Grishchenko Olesya V., Moraux Franck, & Pakulyak Olga. (2020) Fuel up with OATmeals! The case of the French nominal yield curve, The Journal of Finance and Data Science, Volume 6, 49-85. https://doi.org/10.1016/j.jfds.2020.07.001

Files

SvenssonForwardRatesFrance.csv

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