1869 - to modern day monthly Government Bond Indexes - A work in progress.
I have recently set out to slap together some long-term international Government bond yields (monthly frequency). I venture this can be done with the merging of four-databases.
A. The Investor Monthly Manual covers all the international bonds trading on the London Stock Exchange from 1869-1929. This database is spearheaded by Yale University - so props to them.
This data requires serious cleaning. To get yields for central governments only - I will eventually have to exclude territory issuances - and that is a work-in-progress.
B. The next piece of the puzzle comes from the League of Nations - luckily this data has also been thrown into a spreadsheet by the folks at the Center for Financial Stability. The League of Nations dataset covers 1926 through 1944 for a whole range of countries. There is another database on the site which contains monthly interest-rate data for a host of countries and the sources tend to be quite diverse. I will augment my set wherever possible.
C. The bulk of the 1945 - 1990 monthly data will likely have to come from the United Nations Monthly Bulletin. Unfortunately, the UNMB is not archived online, which means I have to travel to a library somewhere to copy the values down. Since I have not received any funding for this project (and am unemployed living on the fringe), I have little to no rational incentive to do this. So we must wait for a well-funded institution (the United Nations - ahem) to pay an intern 12 USD per hour to digitize the hard copies. Major bummer.
D. Some of the data which I seek is found in the online tables of the IMF IFS and the OECD. I will rely on these sources for updating the data up through the modern day.
E. Lastly I will be googling my brains out to find country specific historical databases compiled by various researchers.