Monday, October 17, 2011

Svensson Yield Curve for Euro Bonds

I can’t seem to download multiple time series (say 1yr to 30yr) easily from the web interface, but Euro area bonds’ implied Svensson yield curve data are available via the European Central Bank (ECB) here. The series are available in par, instantaneous forward, and spot rate.

The 2yr instantaneous forward rate starts at September 6, 2004. The rate for October 10, 2011 is 2.818129%. Under a lot of assumptions, this is the expected rate of a very short rate - like an overnight rate that a central bank controls - 2 years from now.  In (I hope) simpler terms, the bond market on October 10, 2011, is expecting that the very short interest rate on October 10, 2013, to be 2.81%.

The time series:

image

The spiffy flash version that shows the whole yield curve for various dates is here:

http://www.ecb.int/stats/money/yc/html/index.en.html

Reference: The estimation of the Term Structure of Interest Rates under the Compressive Sampling approach: Some initial considerations [Calzón, Martínez, and Rodríguez-Piñero]