The Monthly US Government Bond Files consist of three files: the Calendar File, the Master File, and the Cross-Sectional File. These are supplemented by a number of derived files developed by Professor Eugene Fama of the University of Chicago.
The Calendar File contains monthly quote dates and delivery dates as well as several Julian, linear, and other date information derived from these values.
The Government Bond Calendar file is contained in the database table MONTHLY_BOND_CALENDAR.
The Master File contains end-of-day price data on virtually all negotiable direct obligations of the United States Treasury for the period December 31, 1925, to the present.
The Master File information is contained in database tables MONTHLY_BOND_HEADER and MONTHLY_BOND_QUOTES.
The Cross-Sectional File contains the same information as the Master File, except it is sorted by quote date. Since there is no information in the Cross-Sectional File beyond that available in the Master File, Boston College users should access the Master File and use the 'order by' clause to sort their retrieved data.
The Fama Files are derived from the CRSP US Government Bond Files. They have been made available to CRSP subscribers by Professor Eugene Fama. There are four groups of files: Treasury Bill Term Structure Files, Maturity Portfolios Returns Files, Fama-Bliss Discount Bonds Files, and Risk Free Rates File.
Treasury Bill Term Structure Files are a series of 24 files of term structures based on selected Treasury Bills. There are three series based on bid, asked and average prices. Each series has subset based on 6-month and 12-month target maturities. Each subset contains prices, yields, forward rates and holding period returns files.
The Treasury Bill Term Structure files are contained in database tables TBILL_6 and TBILL_12. The raw data in these tables has been scaled by 1200.0 to preserve precision (i.e. yields, forward rates, and holding period returns are expressed in per cent per annum).
The Fama Maturity Portfolios Returns Files are two files of portfolio holding period returns. Portfolios of 6 months and I year maturity intervals are constructed.
Fama-Bliss Discount Bonds Files contain artificial discount bonds with 1 to 5 years to maturity, constructed after first extracting the term structure from a filtered subset of the available bonds. These files are intended for users who need to extend the term structures available in the Treasury Bill files to longer maturities. This database is a refinement of the one used in E. Fama and R. Bliss, The Information in Long-Maturity Forward Rates, American Economic Review, v.77 (September 1987). Data in these files begin in 1952.
The Fama-Bliss Discount Bonds Files are accessible via the Web on econ.bc.edu.
Risk Free Rates Files contains one and three month risk free rates for use in pricing and macroeconomic models. This file provides lending and borrowing rates derived from bid. ask, and bid/ask averaye prices. Data in this file goes back to 1925.
The Risk Free Rates files are contained in database tables RISKFREE_RATE_MON and RISKFREE_RATE_QTR.
The CRSP Daily and Monthly US Government Bond Files have been expanded to include bond indices called the CRSP Fixed Term Indices Files. These derived files offer 7 groups of indices: 30, 20, 10, 7, 5, 2 and 1 year taryet maturity indices sorted by term type and quote date. This index creates a sophisticated bond yield curve, allowing the selection of data items referenced by returns, prices and duration. Start dates vary based upon term types selected. Programming support is not provided for the CRSP Fixed Term Indices.
The Fixed Term Indices files are contained in the database tables MONTHLY_BOND_INDICES and DAILY_BOND_INDICES.
Last updated: 26 July 2001 by baum