U.S. Government Bond Monthly Yield Average 1790 - 2017

Today I am adding a monthly series of U.S. Gov't bond yields going back to 1790.  This was made possible by Sylla, Wilson and Wright which compiled a database of security prices from a bunch of newspapers.  I also used the Yale University IMM database for information on U.S. Government Bonds and loans trading on the London Stock Exchange.  I did not end up utilizing the Yale University NYSE Government Bond datasheets - although looking back on the project - it would have certainly been convenient.  For data through the civil war I used the weekly Disunion State Bond Prices available on FRED (see citation below).  For Treasury Bonds from 1919 I used the Federal Reserve Bulletin.  I attempted to stay away from Bob Shiller's - Ten-yr Treasury Index - although I did use a few months worth of data from this series (It is interpolated quarterly in the early decades, and I have enough interpolation elsewhere in my life). 

I took a straight average of the individual series that were available to me.  I averaged over daily and weekly data to obtain monthly values of each bond price series.    No attempt at weighting was made, I made no attempt to create an index as Macaulay so ingeniously did.  



Weber, Warren E., Dwyer, Gerald P. and Hafer, R.W., Disunion Era Bond Prices [HSTBNDW052N], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/HSTBNDW052N, February 28, 2018.

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