Leo Krippner, "A Theoretical Foundation for the Nelson-Siegel Class of 
Yield Curve Models", Journal of Applied Econometrics, Vol. 30, No. 1, 
2015, pp. 97-118.

I use four sources of zero-coupon interest rate data in the analysis
for my paper. The main source of data is Bloomberg, and those data
cannot be lodged because they are proprietary and available only to
subscribers. However, I provide the codes for the Bloomberg data
further below to facilitate its downloading by those who have access
to Bloomberg.

1. Gurkaynak, Sack, and Wright (2007, hereafter GSW) data.

The complete GSW data set along with regular updates is available at

  http://www.federalreserve.gov/pubs/feds/2006/200628/200628abs.html

GSW describes the data in detail. I have generated the data set
for my analysis using the GSW parameters with the Nelson and Siegel
(1987) or Svennson (1995) model as appropriate. The resulting data set
is contained in the file "lk-data-gsw.txt". Each column contains the
data for a single maturity, and the 11 maturities are 0.25, 0.5, 1, 2,
3, 5, 7, 10, 15, 20, and 30 years. Each row contains the data for a
given month end, and the 616 dates are from Jun-1961 to Sep-2012. The
data are separated with a space.

2. Joslin, Singleton, and Zhu (2011, hereafter JSZ) data.

The JSZ data set and code is available at

http://www-bcf.usc.edu/~sjoslin/

JSZ describes the data in detail. A copy of the data is contained in
"lk-data-jsz.txt". Each column contains the data for a single
maturity, and the 7 maturities are 0.5, 1, 2, 3, 5, 7, and 10 years.
Each row contains the data for a given month end, and the 216 dates
are from Jan-1990 to Dec-2007. The data are separated with a space.

3. The complete Bank of England dataset.

This dataset, along with regular updates (and background information)
is available from

http://www.bankofengland.co.uk/statistics/pages/yieldcurve/default.aspx.

The data I used for my analysis are contained in the file
"lk-data-boe.txt". Each column contains the data for a single
maturity, and the 7 maturities are 0.25, 1, 2, 3, 5, 7, 10, and 15
years. Each row contains the data for a given month end, and the 453
dates are from Jan-1975 to Sep-2012. The data are separated with a
space.

The three data files described above are ASCII files in DOS format.
They are zipped in the file lk-data.zip. Unix/Linux users should use
"unzip -a".

I construct the end-month Bloomberg data from the daily data using the
last business day for the month when the data for all the individuals
maturities of the given country are available (which ensures
cross-sectional consistency). The country codes and maturity codes are
listed below, along with how those codes are combined to give the name
of each series used in the analysis.

Government-risk country codes:
United States   F082
Japan           I018
Germany         F910
France          I014
United Kingdom  I022

Bank-risk country codes:
United States   I052
Japan           I056
Euro area       I053
United Kingdom  I055

The maturity codes are:
03M, 06M, 01Y, 02Y, 03Y, 05Y, 07Y, 10Y, 15Y, 20Y, 30Y

The codes are combined as follows to define each series:
[Country code] & [Maturity code] & " Index"

For example, the complete code for the UK 5-year government-risk
zero-coupon yield is:

I02205Y Index


Leo Krippner
Senior Advisor | Reserve Bank of New Zealand
Leo.Krippner [AT] rbnz.govt.nz