@article{f6c14b60031f46dca8c823cb385f6798,
title = "Reconstructing the yield curve",
abstract = "The constant maturity zero-coupon yield curve for the US Treasuries is one of the most studied datasets. We construct a new yield curve using a non-parametric kernel-smoothing method with a novel adaptive bandwidth specifically designed to fit the Treasury yields. Our curve is globally smooth while still capturing important local variation. Economically, we show that applying our data leads to different conclusions from using the leading alternative data of G{\"u}rkaynak et al. (2007) (GSW) when we repeat two popular studies of Cochrane and Piazzesi (2005) and Giglio and Kelly (2018). Statistically, we show our dataset preserves information in the raw data and has much smaller pricing errors than GSW. Our new yield curve is maintained and updated online, complemented by bandwidths that summarize information content in the raw data.",
keywords = "Excess volatility, Non-parametric method, Return forecasting regressions, Term structure of interest rates, Yield curve",
author = "Yan Liu and Wu, {Jing Cynthia}",
note = "We appreciate comments from an anonymous referee, Michael Bauer, Anna Cieslak, John Cochrane, Drew Creal, Richard Crump, Jeroen Dalderop, Ian Dew-Becker, Stefano Giglio, Jim Hamilton, Bryan Kelly, Ralph Koijen, Monika Piazzesi, Bill Schwert (the editor), and Eric Swanson, as well as conference and seminar participants at the 5th Annual UWO Conference on Financial Econometrics and Risk Management, the 2019 Asia Meeting of the Econometric Society, and the 2020 ASSA Annual Meeting (San Diego). We are especially grateful to Cam Harvey for comments on several versions of this paper. Cynthia Wu gratefully acknowledges support from the Institute for Scholarship in the Liberal Arts, College of Arts and Letters, University of Notre Dame . Our yield curve data are available at https://sites.google.com/view/jingcynthiawu/yield-data . We appreciate comments from an anonymous referee, Michael Bauer, Anna Cieslak, John Cochrane, Drew Creal, Richard Crump, Jeroen Dalderop, Ian Dew-Becker, Stefano Giglio, Jim Hamilton, Bryan Kelly, Ralph Koijen, Monika Piazzesi, Bill Schwert (the editor), and Eric Swanson, as well as conference and seminar participants at the 5th Annual UWO Conference on Financial Econometrics and Risk Management, the 2019 Asia Meeting of the Econometric Society, and the 2020 ASSA Annual Meeting (San Diego). We are especially grateful to Cam Harvey for comments on several versions of this paper. Cynthia Wu gratefully acknowledges support from the Institute for Scholarship in the Liberal Arts, College of Arts and Letters, University of Notre Dame. Our yield curve data are available at https://sites.google.com/view/jingcynthiawu/yield-data.",
year = "2021",
month = dec,
doi = "10.1016/j.jfineco.2021.05.059",
language = "English (US)",
volume = "142",
pages = "1395--1425",
journal = "Journal of Financial Economics",
issn = "0304-405X",
publisher = "Elsevier B.V.",
number = "3",
}