French Treasury Yield Curves

The aim of this project is to construct different curves that can be associated to the French Government OATs aka Obligations Assimilables de Trésor. These curves are i) the zero-coupon yield curves, ii) the par-yield curves and iii) the instantaneous forward rate curves. The French zero-coupon yield curve is the term structure of French (spot) interest rates. Note that these datasets are a research product, not an official French Government statistical release.

The current dataset starts from October 22, 1987 and ends on May 12, 2022. Our aim is to maintain and update the dataset regularly.

To construct these different curves, we collect all available public data of French nominal government debt securities and use a standard Svensson methodology. We select this standard empirical approach because it makes our curves comparable to those available for other countries. Please consult Grishchenko et al (2020) and see below for details on this methodology, the model fit, etc. 

Participants: Olesya V. Grishchenko (Division of Monetary Affairs, Federal Reserve Board, Washington, USA), Franck Moraux (CREM, Université de Rennes 1, France) and Olga Pakulyak (SMART Rennes, Institut Agro Rennes Angers, France). The project has started when Olga was doctoral student at CREM.

Supports & acknowledgement: Olesya was invited and hosted by the Université de Rennes 1 and CREM at IGR/IAE Rennes during several visits in 2017, 2018, 2019 and 2022, when parts of this research were developed. At the launch of this project, Olga benefited from a doctoral fellowship at Université de Rennes 1/ CREM. Franck and Olga both have received some supports from IGR/IAE Rennes, from the CREM and from the Chaire Fondation Rennes 1 “Nouveaux défis de la Banque”.

Updated datasets can be downloaded from the open science platform Zenodo.

France Treasury Nominal Zero-Coupon Yield Curves are available at https://doi.org/10.5281/zenodo.7053776
France Treasury Instantaneous Forward Rate Curves are available at https://doi.org/10.5281/zenodo.7054325
France Treasury Nominal Par Yield Curves are available at https://doi.org/10.5281/zenodo.7054315

Disclaimer: These datasets are a research product, not an official French Government statistical release. The datasets are subject to delay, revision, or methodological changes without advance notice.

License (for files): Creative Commons Attribution 4.0 International.

Grishchenko O.V., F. Moraux, O. Pakulyak (2020): Fuel up with OATmeals! The case of the French nominal yield curve, The Journal of Finance and Data Science, Volume 6, 49-85. https://doi.org/10.1016/j.jfds.2020.07.001

Abstract: We construct the French nominal yield curve using Svensson methodology and all available public data of French nominal government debt securities—Obligations Assimilables du Trésor (OATs). Our sample period starts in October 1987 and ends in April 2018. We find that the functioning of the French sovereign bond market has improved dramatically following the onset of the euro area and has been functioning reasonably well since then, with the exceptions of the Global Financial Crisis period and the European sovereign crisis period. We also find that, the French nominal on-the-run securities have, on average, a negligible liquidity premium, in sharp contrast to the U.S. nominal Treasury market, where such a premium is sizable. On average, the level and the slope of the French zero-coupon rates have been decreasing since the Global Financial Crisis.

Grishchenko Olesya V., Moraux Franck, & Pakulyak Olga. (2022). France Yield Curves [Data set]. Zenodo. https://doi.org/10.5281/zenodo.7053776

Grishchenko Olesya V., Moraux Franck, & Pakulyak Olga. (2022). France Forward Rate Curves [Data set]. Zenodo. https://doi.org/10.5281/zenodo.7054325

Grishchenko Olesya V., Moraux Franck, & Pakulyak Olga. (2022). France Par-Yield Curves [Data set]. Zenodo. https://doi.org/10.5281/zenodo.7054315