meboot (version 1.4-9.4)

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)

Format

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

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.