I am looking for annual data on Government bond yields for as many countries as possible worldwide (say from the 1980s to present for over 100 countries). Is this data available? I have tried IMF IFS however data is not available for many countries and the maturities of bond yields vary for the countries for which it is available. Similar issues have been found with Bloomberg.
The first place I always look is FRED, but I'm sure you already checked there. If you haven't recently, they have added a ton of new data sets recently, including international data.
One other place I saw that may not be on your radar screen is the Central Bank of Norway. May have the other scandinavian country data also.
Thanks for the response and advice. As it happens I had not checked FRED and having now looked through this database see that this is very helpful and will enable good cross-referencing with the data we have from IMF IFS, especially in terms of matching maturities. Thanks once again.
The Fed Board of Governors also has a very useful US Treasury rate data set based on Nelson, Siegal and Svennson yield curve models.
I will certainly look at this source. Thanks once again for your help.
Here is a link to the paper. Looks like they have changed the page somewhat. They were updating the data daily.
http://www.federalreserve.gov/pubs/feds/2006/200628/200628pap.pdf
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