Erasmus University Rotterdam (EUR)
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Historical Data: International monthly government bond returns

Version 6 2023-01-10, 08:58
Version 5 2021-05-28, 12:51
Version 4 2019-08-09, 09:06
Version 3 2019-07-01, 13:13
Version 2 2019-07-01, 10:04
Version 1 2019-06-03, 09:05
posted on 2023-01-10, 08:58 authored by Laurens SwinkelsLaurens Swinkels

Academics and research analysts in financial economics frequently use returns on government bonds for their empirical analyses. In the United States, government bonds are also called Treasury bonds. The Federal Reserve publishes the yield-to-maturity of Treasury bonds. However, the Treasury bond returns earned by investors are not publicly available. The purpose of this study is to provide these currently not publicly available return series and provide formulas such that these series can easily be updated by researchers. We use standard textbook formulas to convert the yield-to-maturity data to investor returns. The starting date of our series is January 1962, when end-of-month data on the yield-to-maturity become publicly available. We compare our newly created total return series with alternative series that can be purchased. Our return series are very close, suggesting that they are a high-quality public alternative to commercially available data.

This data set calculates monthly returns for:

United States (starting 1947)

Germany (starting 1972)

Japan (starting 1974)

Australia (starting 1969)
France (starting 1987)

Canada (starting 1986)

UK (starting 1970)

Norway (starting 1921)

Sweden (starting 1920)

Data updated unitl December 2022.