An Analysis of the Daily Changes in us treasury Security Yields



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11 
III. DATA, UNIT ROOT TESTS, ECONOMETRIC MODELS, AND EMPIRICAL 
FINDINGS 
Table 1 summarizes the data used in this paper. The first column lists the variables and gives the 
variable names. The second column describes the data and gives the date range for the data. The 
third column lists the frequency of the data. The final column gives the sources of the data. 
Table 1: Definition and Source of the Variables 
Variable 
labels 
Data description 
Frequency 
Sources 
Short-term interest rate 
TB3M 
Treasury bills, 3-month, yield, %; 
1/4/1982–12/31/2018 
Daily 
Macrobond 
US Treasury security yields 
UST2Y 
Treasury securities, 2-year, yield, %; 
1/1/1990–12/31/2018 
Daily 
Macrobond 
UST3Y 
Treasury securities, 3-year, yield, %; 
1/1/1990–12/31/2018 
Daily 
Macrobond 
UST5Y 
Treasury securities, 5-year, yield, %; 
1/1/1990–12/31/2018 
Daily 
Macrobond 
UST7Y 
Treasury securities, 7-year, yield, %; 
1/1/1990–12/31/2018 
Daily 
Macrobond 
UST10Y 
Treasury securities, 10-year, yield, %; 
1/1/1990–12/31/2018 
Daily 
Macrobond 
UST30Y 
Treasury securities, 30-year, yield, %; 
1/1/1990–12/31/2018 
Daily 
Macrobond 
Volatility 
VIX 
S&P 500 volatility index (VIX), close; 
1/2/1990–12/31/2018 
Daily 
Chicago Board Options 
Exchange; Macrobond 
VXN 
Nasdaq volatility index (VXN), close; 
1/3/1995–12/31/2018 
Daily 
Chicago Board Options 
Exchange; Macrobond 

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