France Treasury Nominal Par Yield Curves
- 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 Treasury Nominal Par Yield Curves from October 22, 1987, through October 20, 2023. The file contains the French par-yield 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, throughOctober 20, 2023. 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.10548876 and France instantaneous Forward Rate Curves available at https://doi.org/10.5281/zenodo.10548915. 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