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For any question on data and metadata, please contact: Eurostat user support |
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1.1. Contact organisation | Eurostat, the statistical office of the European Union |
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1.2. Contact organisation unit | Unit C2: National accounts production |
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1.5. Contact mail address | 2920 Luxembourg LUXEMBOURG |
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2.1. Metadata last certified | 10/06/2021 | ||
2.2. Metadata last posted | 10/06/2021 | ||
2.3. Metadata last update | 10/06/2021 |
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3.1. Data description | |||
A yield curve (which can also be known as the term structure of interest rates) represents the relationship between market remuneration (interest) rates and the remaining time to maturity of debt securities. The information content of a yield curve reflects the asset pricing process on financial markets. When buying and selling bonds, investors include their expectations of future inflation, real interest rates and their assessment of risks. An investor calculates the price of a bond by discounting the expected future cash flows. The European Central Bank estimates zero-coupon yield curves for the euro area and derives forward and par yield curves. A zero coupon bond is a bond that pays no coupon and is sold at a discount from its face value. The zero coupon curve represents the yield to maturity of hypothetical zero coupon bonds, since they are not directly observable in the market for a wide range of maturities. The yields must therefore be estimated from existing zero coupon bonds and fixed coupon bond prices or yields. The forward curve shows the short-term (instantaneous) interest rate for future periods implied in the yield curve. The par yield reflects hypothetical yields, namely the interest rates the bonds would have yielded had they been priced at par (i.e. at 100). Bonds are removed if their yields deviate by more than twice the standard deviation from the average yield in the same maturity bracket. Afterwards, the same procedure is repeated. |
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3.2. Classification system | |||
None. |
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3.3. Coverage - sector | |||
Only bonds issued by the central government (European System of Accounts 2010: sector code 'S.1311') are selected. |
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3.4. Statistical concepts and definitions | |||
See 3.1. |
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3.5. Statistical unit | |||
Not applicable. |
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3.6. Statistical population | |||
Euro area central government bonds. Two type of bonds are available:
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3.7. Reference area | |||
Euro area. |
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3.8. Coverage - Time | |||
The daily yield curves are available as of 6 September 2004, and are calculated and released daily according to the TARGET calendar. |
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3.9. Base period | |||
Not applicable. |
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Yield in annual percentage terms. |
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Not applicable. |
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6.1. Institutional Mandate - legal acts and other agreements | |||
Not applicable. |
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6.2. Institutional Mandate - data sharing | |||
The dataset is received from the ECB as part of a memorandum of understanding. |
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7.1. Confidentiality - policy | |||
Regulation (EC) No 223/2009 on European statistics (recital 24 and Article 20(4)) of 11 March 2009 (OJ L 87, p. 164), stipulates the need to establish common principles and guidelines ensuring the confidentiality of data used for the production of European statistics and the access to those confidential data with due account for technical developments and the requirements of users in a democratic society. |
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7.2. Confidentiality - data treatment | |||
Not applicable, there are no confidential data. |
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8.1. Release calendar | |||
Daily data are released on the euro yield curve pages of the Eurostat website each day (t + 2 days). |
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8.2. Release calendar access | |||
Not applicable. |
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8.3. Release policy - user access | |||
In line with the Community legal framework and the European Statistics Code of Practice Eurostat disseminates European statistics on Eurostat's website (see item 10 - 'Accessibility and clarity') respecting professional independence and in an objective, professional and transparent manner in which all users are treated equitably. The detailed arrangements are governed by the Eurostat protocol on impartial access to Eurostat data for users. |
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Daily, monthly, quarterly and annual. |
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10.1. Dissemination format - News release | |||
Please see ECB webpage: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/html/index.en.html |
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10.2. Dissemination format - Publications | |||
Please see ECB note: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/html/technical_notes.pdf |
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10.3. Dissemination format - online database | |||
Please see ECB webpage: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/html/index.en.html |
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10.4. Dissemination format - microdata access | |||
Not available. |
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10.5. Dissemination format - other | |||
Not applicable. |
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10.6. Documentation on methodology | |||
Data sources The bond and price information are provided by EuroMTS Ltd. www.euromts-ltd.com The ratings are provided by Fitch Rating. www.fitchratings.com Quality and selection methodology All bonds are subject to the same quality and selection methodology. The incoming daily bond data and price/yield information undergo quality checks and scrutiny. This ensures a high quality of representative bond market information as input for the daily yield curve estimations. Only bonds issued by the central government (European System of Accounts 2010: sector code 'S.1311') are selected. Only bonds with an outstanding amount of at least €5 billion are included. Bonds with special features, including ones with specific institutional arrangements, are excluded from the final sample. Only fixed-coupon with finite maturity and zero coupon bonds are selected, including STRIPS (Separate Trading of Registered Interest and Principal Securities).Variable coupon bonds including inflation-linked bonds and perpetual bonds are not selected. As liquidity matters, only actively traded central government bonds with a maximum bid-ask spread per quote of three basis points are selected. The prices/yields are those at close of market on the reference day. In order to reflect a sufficient market depth, the residual maturity brackets have been fixed as ranging from one year up to and including 30 years of residual maturity. |
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10.7. Quality management - documentation | |||
Not available. |
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11.1. Quality assurance | |||
Please see ECB webpage: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/html/index.en.html. |
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11.2. Quality management - assessment | |||
Please see ECB webpage: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/html/index.en.html. |
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12.1. Relevance - User Needs | |||
The slope of the yield curve gives an idea of future interest rate changes and economic activity. The euro yield curve is used as the only official source on government bond yields in the euro area. |
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12.2. Relevance - User Satisfaction | |||
Not available. |
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12.3. Completeness | |||
The data collection covers all the business days since 29 December 2006, the daily yield curves are available as of 6 September 2004. |
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13.1. Accuracy - overall | |||
Due to the high number of bonds used for calculating the yields the accuracy is very high up to 10 years maturity. For longer maturities the number of bonds available for calculation is smaller. |
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13.2. Sampling error | |||
Please see ECB webpage: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/html/index.en.html. |
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13.3. Non-sampling error | |||
Not applicable. |
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14.1. Timeliness | |||
t + 2 working days. |
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14.2. Punctuality | |||
Data is usually available at t + 2 working days. |
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15.1. Comparability - geographical | |||
Other countries and areas outside the euro area follow different concepts of yield estimations. |
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15.2. Comparability - over time | |||
The data can be easily compared over time since 6 September 2004. |
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15.3. Coherence - cross domain | |||
Daily data are released on the euro yield curve pages of the Eurostat website each day. |
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15.4. Coherence - internal | |||
Not applicable. |
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Not available. |
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17.1. Data revision - policy | |||
Revisions do not take place. Discovered errors are extremely rare and would be corrected immediately. |
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17.2. Data revision - practice | |||
Major changes in methodology are announced beforehand. |
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18.1. Source data | |||
ECB calculations based on EuroMTS data. |
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18.2. Frequency of data collection | |||
Business daily. |
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18.3. Data collection | |||
Online by EuroMTS and ECB. |
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18.4. Data validation | |||
The ECB uses quality checking procedures as described in 3.1. |
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18.5. Data compilation | |||
See ECB webpage: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/html/index.en.html |
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18.6. Adjustment | |||
No seasonal adjustment. |
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The ECB presents the euro yield curve on its website: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/html/index.en.html, together with graphical information and information on monthly maturities ranging from three months up to and including 30 years of residual maturity. |
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ECB webpage on Euro Yield Curves |
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