French Treasury Yield Curves

Retrouvez ici différentes courbes de taux d'intérêt construites avec les Obligations Assimilables du Trésor.

The project

Fitting Errors Fitting errors Abstract: We construct the French nominal yield curve using Svensson methodology and all available public data of French nominal government debt securities—Obligations Assimilables du Trésor (OATs). Our sample period starts in October 1987 and ends in April 2018. We find that the functioning of the French sovereign bond market has improved dramatically following the onset of the euro area and has been functioning reasonably well since then, with the exceptions of the Global Financial Crisis period and the European sovereign crisis period. We also find that, the French nominal on-the-run securities have, on average, a negligible liquidity premium, in sharp contrast to the U.S. nominal Treasury market, where such a premium is sizable. On average, the level and the slope of the French zero-coupon rates have been decreasing since the Global Financial Crisis.

Keywords: French nominal government bonds,Term structure of French interest rates,OATs, Yield curve,Svensson model,On-the-run premium,Sovereign spread,Predictability
 
Participants: Olesya V. Grishchenko (Division of Monetary Affairs, Federal Reserve Board, Washington, USA), Franck Moraux (CREM, Université de Rennes 1, France), Olga Pakulyak (CREM, Université de Rennes 1, France).
 
Acknowledgement: Olesya V. Grishchenko is grateful to the Université de Rennes 1 and CREM at IGR/IAE Rennes for hosting her during several visits in 2017, 2018, and 2019 when parts of this research were developed. Olga Pakulyak has benefited from a doctoral fellowship. Both Franck Moraux and Olga Pakulyak thank CREM for financial supports and the Chaire Fondation Rennes 1 “Nouveaux défis de la Banque” for supports.

The datasets

Yield curve data can be downloaded from the open science platform ZENODO.

The DOI for yield curves is https://doi.org/10.5281/zenodo.4292379
The DOI for instantaneous forward rate curves is https://doi.org/10.5281/zenodo.4292386
The DOI for par-yield curves is https://doi.org/10.5281/zenodo.4292511

Implementation details are given in the published companion paper. For short, we collect all daily available bid prices for 179 nominal OATs from October 22, 1987, through April 10, 2018. The initial set contains 315,877 individual daily price quotes of OATs. Each dataset contains 395,700 figures (with maturities ranging from 1 year to 50 years). At total, the full database contains 1,187,100 rates or yields.

Disclaimer: These datasets are a research product, not an official French Government statistical release. The datasets are subject to delay, revision, or methodological changes without advance notice.

License (for files): Creative Commons Attribution 4.0 International.

FAQ: How to cite this article and the dataset?

Grishchenko O.V., F. Moraux, O. Pakulyak (2020): Fuel up with OATmeals! The case of the French nominal yield curve, The Journal of Finance and Data Science, Volume 6, 49-85. https://doi.org/10.1016/j.jfds.2020.07.001

Grishchenko Olesya V., Moraux Franck, & Pakulyak Olga. (2020). Fuel up with OATmeals! Yield Curves [Data set]. Zenodo. http://doi.org/10.5281/zenodo.4292379

Grishchenko Olesya V., Moraux Franck, & Pakulyak Olga. (2020). Fuel up with OATmeals! Forward Rate Curves [Data set]. Zenodo. http://doi.org/10.5281/zenodo.4292386

Grishchenko Olesya V., Moraux Franck, & Pakulyak Olga. (2020). Fuel up with OATmeals! Par-Yield Curves [Data set]. Zenodo. http://doi.org/10.5281/zenodo.4292511