Yields data used in Candelon and Moura (2024, JFEC)
Usage
data("Yields")Format
A matrix containing bond yields with maturities of 3, 6, 12, 36, 60, and 120 months for Brazil, China, Mexico, and Uruguay. The data are at monthly frequency and cover the period from June 2004, to January 2020.
Source
- Brazil
Swap fixed-DI contracts (derivative securities indexed to the interbank loan rates). <https://www.b3.com.br/pt_br/market-data-e-indices/servicos-de-dados/market-data/consultas/mercado-de-derivativos/precos-referenciais/taxas-referenciais-bm-fbovespa/>
- China
Government bond yield data in domestic currency. Simulated data constructed using Bloomberg bond yield series.
- Mexico
Government bond yield data in domestic currency. Simulated data constructed using Bloomberg bond yield series.
- Uruguay
Government bond yield data in US dollars <https://web.bevsa.com.uy/CurvasVectorPrecios/CurvasIndices/CUD.aspx>.