Format
A time serie containing :
- r1
- interest rate for a maturity of 1 months (% per year).
- r2
- interest rate for a maturity of 2 months (% per year).
- r3
- interest rate for a maturity of 3 months (% per year).
- r5
- interest rate for a maturity of 5 months (% per year).
- r6
- interest rate for a maturity of 6 months (% per year).
- r11
- interest rate for a maturity of 11 months (% per year).
- r12
- interest rate for a maturity of 12 months (% per year).
- r36
- interest rate for a maturity of 36 months (% per year).
- r60
- interest rate for a maturity of 60 months (% per year).
- r120
- interest rate for a maturity of 120 months (% per year).
Source
McCulloch, J.H. and H.C. Kwon (1993) U.S. term structure data, 1947--1991, Ohio State Working Paper 93-6, Ohio State University, Columbus.