Jing Cynthia Wu and Fan Dora Xia, "Negative Interest Rate Policy and
the Yield curve", Journal of Applied Econometrics, Vol. 25, No. 6,
2020, pp. 653-672.

The forward rates and the spread used in this paper are calculated
using deposit rate and OIS rates on EONIA obtained from Bloomberg.
Bloomberg does not permit open access. Therefore, we provide
information on tickers, with which researchers can easily download
relevant rates through a Bloomberg terminal. Each variable is listed
in a row in the format of "description (variable name in the paper):
Bloomberg ticker":

deposit rate (r_t^d): EUORDEPO Index
1-week OIS on EONIA (r_t^{week}): EUSWE1Z Curncy	
1-month OIS on EONIA (r_t): EUSWEA Curncy		
3-month OIS on EONIA (y_{3t}): EUSWEC Curncy	
6-month OIS on EONIA (y_{6t}): EUSWEF Curncy	
1-year OIS on EONIA (y_{12t}): EUSWE1 Curncy	
2-year OIS on EONIA (y_{24t}): EUSWE2 Curncy	
3-year OIS on EONIA (y_{36t}): EUSWE3 Curncy	
5-year OIS on EONIA (y_{60t}): EUSWE5 Curncy
6-year OIS on EONIA (y_{72t}): EUSWE6 Curncy
7-year OIS on EONIA (y_{84t}): EUSWE7 Curncy
8-year OIS on EONIA (y_{96t}): EUSWE8 Curncy
9-year OIS on EONIA (y_{108t}): EUSWE9 Curncy
10-year OIS on EONIA(y_{120t}): EUSWE10 Curncy 

The spread is calculated as the difference between 1-week OIS on EONIA
and deposit rate (r_t^{week}-r_t^d); the forward rates are calculated
using the formula f_{n,m,t}=1/m[(n+m)y_{n+m,t}-ny_{nt}]. 

Our sample is monthly from July 2005 to June 2017.


Please address any questions to:

Jing Cynthia Wu (cynthia.wu [AT] nd.edu)
or
Fan Dora Xia (dora.xia [AT] bis.org).