The bond market term premium: what is it, and how can we measure it?
Don H Kim and
Athanasios Orphanides ()
BIS Quarterly Review, 2007
We review the concept of the term premium, examine alternative methods used to estimate it and discuss some of the challenges encountered in such efforts. We also explain how survey forecasts could be useful for providing an informal, model-free cross-check on simple regression-based forecasting models of term premia and for formal estimation of flexibly specified no-arbitrage models.
JEL-codes: E43 E47 G12 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:bis:bisqtr:0706e
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