Discussion Paper
Treasury Term Premia: 1961-Present
Abstract: Treasury yields can be decomposed into two components: expectations of the future path of short-term Treasury yields and the Treasury term premium. The term premium is the compensation that investors require for bearing the risk that short-term Treasury yields do not evolve as they expected. Studying the term premium over a long time period allows us to investigate what has historically driven changes in Treasury yields. In this blog post, we estimate and analyze the Treasury term premium from 1961 to the present, and make these estimates available for download here.
Keywords: Term structure of interest rates; Treasury term premia;
JEL Classification: G1;
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File(s): File format is text/html https://libertystreeteconomics.newyorkfed.org/2014/05/treasury-term-premia-1961-present.html
Bibliographic Information
Provider: Federal Reserve Bank of New York
Part of Series: Liberty Street Economics
Publication Date: 2014-05-12
Number: 20140512