This paper uses a statistical model with drifting parameters to infer term structures of real and nominal yields on US federal bonds during the gold standard era from 1791-1933. Gold denominated yields trended downwards throughout the 19th century, falling below UK levels by the 1880s. Bonds near maturity carried a “liquidity premium” except during the height of the National Banking Era from 1880-1913. Long term price expectations were anchored until the late 19th century, even in 1862-1879 when the greenback was inconvertible. We note how rearrangements in monetary, financial, and fiscal institutions coincided with changes in US borrowing costs.
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