Chart: GSW vs Spline Method Overlays (Low/Median/High Correlation Dates)#
Chartbook page with GSW overlays against the spline methods for representative low/median/high-correlation dates.
Chart#
Sources: Federal Reserve Website
replication_gsw_overlays#
The second sub-series of charts overlays all replication methods for selected dates representing the highest, lowest, and median levels of correlation between the Waggonner methods and the GSW curve. In this context, correlation is defined as the aggregate correlation between the fitted curves produced by the Waggonner methods and the GSW benchmark across maturities. These visual comparisons help illustrate when the alternative spline approaches closely track the benchmark curve and when the methods diverge more noticeably. Together, these charts provide an intuitive way to assess the similarities and differences across the yield curve estimation approaches beyond the numerical performance metrics presented in the replication tables.
For each method and date, we converted all curves to a common curve basis on maturity to ensure consistent comparisons. For the McCulloch method, we start from the saved discount curve and then derive the continuously compounded spot rate (spot_cc) and instantaneous forward rate (forward_instant_cc). For the Fisher and Waggonner methods, we start from the saved forward curve, treat it as forward_instant_cc, and numerically integrate to obtain discount curves before deriving spot_cc. We then construct the GSW curve for the same date and convert it to the same representations.
After interpolation to a shared maturity grid, we compute Pearson correlations by date, method, and curve type. We require at least three finite points and return NaN when either series is nearly constant. Finally, we average method-level correlations into a single overall_corr per date and select representative low/median/high-correlation dates.
Chart Specs#
Chart Name |
GSW vs Spline Method Overlays (Low/Median/High Correlation Dates) |
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Chart ID |
replication_gsw_overlays |
Topic Tags |
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Data Series Start Date |
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Data Frequency |
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Observation Period |
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Lag in Data Release |
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Data Release Timing |
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Seasonal Adjustment |
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Units |
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HTML Chart |
Dataframe Manifest#
Dataframe Name |
Fed Yield Curve All |
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Dataframe ID |
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Data Sources |
Federal Reserve Website |
Data Providers |
Public |
Links to Providers |
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Topic Tags |
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Type of Data Access |
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How is data pulled? |
Pulled directly from Fed Website and stored |
Data available up to (min) |
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Data available up to (max) |
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Dataframe Path |
/Users/phoebefingold/FINM_Repo/FINM_32900/p14_gurkaynak_sack_wright_2007/_data/fed_yield_curve_all.parquet |
Linked Charts:
Pipeline Manifest#
Pipeline Name |
p14_us_treasury_yield_curve_construction_and_model_comparison |
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Pipeline ID |
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Lead Pipeline Developer |
Phoebe Fingold, Annie Reynolds |
Contributors |
Phoebe Fingold, Annie Reynolds |
Git Repo URL |
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Pipeline Web Page |
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Date of Last Code Update |
2026-03-11 00:04:57 |
OS Compatibility |
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Linked Dataframes |
P1:crsp_treasury_daily_prices |