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. 2020 Jul 23;48(13-15):2560–2579. doi: 10.1080/02664763.2020.1796939

Table C9. The list of descriptions for the variables utilized in the empirical analysis.

Series Description
TB3M-FFR 3 Month Treasury Bill – Federal Funds Rate
TB6M-FFR 6 Month Treasury Bill – Federal Funds Rate
GS10Y-FFR 10 Year Treasury Constant Maturity Rate – Federal Funds Rate
GS5Y-FFR 5 Year Treasury Constant Maturity Rate – Federal Funds Rate
GS3Y-FFR 3 Year Treasury Constant Maturity Rate – Federal Funds Rate
GS1Y-FFR 1 Year Treasury Constant Maturity Rate – Federal Funds Rate
GS10Y-GS1Y 10 Year Treasury Constant Maturity Rate – 1 Year Treasury Constant Maturity Rate
GS10Y-GS3Y 10 Year Treasury Constant Maturity Rate – 3 Year Treasury Constant Maturity Rate
GS10Y-GS5Y 5 Year Treasury Constant Maturity Rate – 5 Year Treasury Constant Maturity Rate
GS10Y TB3M 10 Year Treasury Constant Maturity Rate – 3 Month Treasury Bill
GS10Y-TB6M 10 Year Treasury Constant Maturity Rate – 6 Month Treasury Bill
GS5Y-GS1Y 5 Year Treasury Constant Maturity Rate – 1 Year Treasury Constant Maturity Rate
GS5Y-GS3Y 5 Year Treasury Constant Maturity Rate – 3 Year Treasury Constant Maturity Rate
GS5Y-TB3M 5 Year Treasury Constant Maturity Rate – 3 Month Treasury Bill
GS5Y-TB6M 5 Year Treasury Constant Maturity Rate – 6 Month Treasury Bill
GS3Y-GS1Y 3 Year Treasury Constant Maturity Rate – 1 Year Treasury Constant Maturity Rate
GS3Y-TB3M 3 Year Treasury Constant Maturity Rate – 3 Month Treasury Bill
GS3Y-TB6M 3 Year Treasury Constant Maturity Rate – 6 Month Treasury Bill