Treasury Term Premia: 1961-Present

Tobias Adrian, Richard Crump, Benjamin Mills and Emanuel Moench

No 20140512, Liberty Street Economics from Federal Reserve Bank of New York

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 (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2014-05-12
New Economics Papers: this item is included in nep-upt
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