Table 1
Descriptive Statistics, Yield Curves
|
Maturity |
Mean |
Standard |
Minimum |
Maximum |
^(1) |
^(12) |
^(30) |
|
3 |
5.630 |
1.488 |
2.732 |
9.131 |
0.978 |
0.569 |
-0.079 |
|
6 |
5.785 |
1.482 |
2.891 |
9.324 |
0.976 |
0.555 |
-0.042 |
|
9 |
5.907 |
1.492 |
2.984 |
9.343 |
0.973 |
0.545 |
-0.005 |
|
12 |
6.067 |
1.501 |
3.107 |
9.683 |
0.969 |
0.539 |
0.021 |
|
15 |
6.225 |
1.504 |
3.288 |
9.988 |
0.968 |
0.527 |
0.060 |
|
18 |
6.308 |
1.496 |
3.482 |
10.188 |
0.965 |
0.513 |
0.089 |
|
21 |
6.375 |
1.484 |
3.638 |
10.274 |
0.963 |
0.502 |
0.115 |
|
24 |
6.401 |
1.464 |
3.777 |
10.413 |
0.960 |
0.481 |
0.133 |
|
30 |
6.550 |
1.462 |
4.043 |
10.748 |
0.957 |
0.479 |
0.190 |
|
36 |
6.644 |
1.439 |
4.204 |
10.787 |
0.956 |
0.471 |
0.226 |
|
48 |
6.838 |
1.439 |
4.308 |
11.269 |
0.951 |
0.457 |
0.294 |
|
60 |
6.928 |
1.430 |
4.347 |
11.313 |
0.951 |
0.464 |
0.336 |
|
72 |
7.082 |
1.457 |
4.384 |
11.653 |
0.953 |
0.454 |
0.372 |
|
84 |
7.142 |
1.425 |
4.352 |
11.841 |
0.948 |
0.448 |
0.391 |
|
96 |
7.226 |
1.413 |
4.433 |
11.512 |
0.954 |
0.468 |
0.417 |
|
108 |
7.270 |
1.428 |
4.429 |
11.664 |
0.953 |
0.475 |
0.426 |
|
120 (level) |
7.254 |
1.432 |
4.443 |
11.663 |
0.953 |
0.467 |
0.428 |
|
slope |
1.624 |
1.213 |
-0.752 |
4.060 |
0.961 |
0.405 |
-0.049 |
|
curvature |
-0.081 |
0.648 |
-1.837 |
1.602 |
0.896 |
0.337 |
-0.015 |
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