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USfygt: Long-term Treasury Bond Rates and Deficit Data Set (Annual 1948-200)

Description

Data set employed in Murray (2006, pp.795-797) to test the null hypothesis that per capita federal deficits explain long-term Treasury bond interest rates based on the Stock and Watson's dynamic OLS model.

Usage

data (USfygt)

Arguments

docType

USfygt

format

A .rda file storing the data as an mts object.

source

Data was made available by James Stock and Mark Watson to readers of their famous Econometrica paper, 1993, 61, pp 783-820, who in turn used standard sources for US macroeconomic data from government publications.

Details

Annual data. Available time series: (Each corresponding label in the list object appears in quotes.)

  • "dy": mean changes in real per capita income (1949-1998).
  • "fygt1": shorth-term (one-year) Treasury bond interest rates (1953-1998).
  • "fygt10": long-term (ten-year) Treasury bond interest rates (1953-2000).
  • "infl": inflation (1949-2000).
  • "usdef": per capita real federal deficit (1948-2000).
  • "reallir": real long term interest rates (not used in Murray's Table 18.12).
  • "realsir": real short term interest rates (not used in Murray's Table 18.12).

References

Murray, M.P. (2006), Econometrics. A modern introduction, New York: Pearson Addison Wesley.