Availability Limits in Cross-Country Real Yield Curve Data

Summary

The document asks whether a source provides historical real yield curves across a broad set of countries. Real curves describe yields on inflation-linked bonds, and the question distinguishes them from nominal curves, which many central banks publish. The central challenge is that comparable historical real-curve estimates appear to be much less widely available; the author has found published series for the United States and United Kingdom but not elsewhere.

The post explains two reasons coverage may be limited: some countries do not issue inflation-linked debt, while others have too few bond maturities to support fitting a yield curve. It gives no dataset recommendation, specific coverage comparison, or estimation procedure, so it serves mainly as a statement of a data constraint for cross-country fixed-income research. Researchers would need to investigate country-level issuance and available maturities before assuming that real curves can be assembled consistently across markets.

Key ideas

• Nominal yield curves are published by many central banks, while historical real-curve coverage is described as sparse.
• Real yield curves are based on inflation-linked bonds.
• Some countries lack inflation-linked bond issuance, and others lack enough maturities to fit a curve.
• The document poses a data-source question but does not identify a comprehensive source.

Tags

# Data on historical, cross-country REAL yield curves (i.e. inflation-linked bonds)


# Data on historical, cross-country REAL yield curves (i.e. inflation-linked bonds)












I asked here about data on a data source for historical yield curves for many countries. Many central banks (linked there, in Helin's answer) publish estimates for their nominal yield curves.

But most do not do so for historical real yield curves, i.e. the yields on inflation-indexed bonds. The US and UK do; I have not found any other country that does so.

Partially this is because not all countries issue inflation-linked bonds; and among those that do, many do not (or have not historically) issued at enough different maturities to fit a yield curve.

Does any data source have more comprehensive cross-country coverage for REAL yield curves?

Thank you!

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.