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Finding Historical Cross-Country Nominal Yield Curve Data

Article Quant Q&A · Author: bhalperin
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Summary

The document surveys public and commercial sources for historical nominal yield curves across countries. It distinguishes fitted constant-maturity zero-coupon or par curves from generic benchmark bond yields, which usually track on-the-run securities and are not zero-coupon rates. The distinction matters when comparing curve data or building historical fixed-income analyses.

It notes that data providers differ in methodology and history length: for example, a central bank’s Russian ten-year series begins earlier than the corresponding Bloomberg generic series. Central banks provide several fitted curves, while commercial sources may offer broader country coverage and longer histories; some services restrict access to clients. The discussion is a source guide rather than a systematic evaluation, and it offers no standardized comparison of quality. Coverage and availability should therefore be checked for the specific country, curve type, and research period needed.

Key ideas

  • Generic benchmark bond yields are not the same as fitted zero-coupon yields.
  • Central banks publish fitted nominal curves for several economies.
  • Data history can vary substantially between providers for the same country and tenor.
  • Commercial services may broaden coverage or extend history, but access can be restricted.
  • Compare curve definitions and availability before using a source for historical analysis.

Tags

Fixed incomeMulti-assetBacktesting
Full text
# Data on historical, cross-country nominal yield curves


# Data on historical, cross-country nominal yield curves












- Various central banks publish their fitted nominal yield curve estimates: the Fed, BOE, SNB, BOC, ECB (cf: Bundesbank), RBA, Russia, RBI.

- (I couldn't find for BOJ; Brazil; BOK; or PBOC. Links for these would be extremely welcome!)

- Bloomberg has its own estimates of these zero-coupon nominal curves (e.g. USGG10YR for the US ten-year).

These estimates are not the same (at least not always), and in particular they differ in their historical availability: Bloomberg has less data. Just to pick one example, the Russian 10y on Bloomberg (GTRUB10Y Govt) has data since 2010; the central bank's website estimates back to 2003.

Does any data source have better (i.e. longer) cross-country coverage for yield curves?

Thank you!

## Answer by Helin (score 7, accepted)

https://quant.stackexchange.com/a/69663

First, a quick comment on Bloomberg symbols such as `USGG10YR`. These are actually yields on "generic bonds"; typically these are benchmark, on-the-run issues. Long story short, these are not zero coupon bond yields.

For fitted, constant maturity zero coupon rates or par yields, you've already compiled some of the major public sources. Here's a slightly augmented list for reference:

#### Free Sources



























For completeness, there are a few additional links for benchmark yields (but not constant maturity yields):

- Spain via Bank of Spain.

- Finland via Bank of Finland.

- France via Bank of France.

- Hong Kong via Hong Kong MA.

- New Zealand via RBNZ.

- Singapore via Singapore's MSA.

- Sweden via RiksBank.

#### Commercial Sources

- Augur Labs provides fitted zero coupon, par, and forward curves for 36 economies, with very long-term histories (typically 1970s for developed world and as far back as possible for EM economies). [Disclaimer: I'm affiliated with Augur Labs.]

- J.P. Morgan Markets has global fitted yield curves. This is "commercial" in the sense that it's not in the public domain, but the data is free for JP Morgan clients. The length of history is a bit uneven though, depending on the country of interest.

- Similar to Morgan Markets, Barclays Live provides many fitted yield curves to clients.

- ICE Index Platform also has pretty good global yield curves coverage (20+ countries and fairly decent history).

- Other providers are the usual suspect, such as Refinitiv, YieldBook, etc. I know they have such data, but I haven't used them for ages and can't say much about data quality/length.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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