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The bond market term premium: what is it, and how can we measure it?

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Author Info
Don H Kim
Athanasios Orphanides

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Abstract

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.

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Publisher Info
Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2007)
Issue (Month): (June)
Pages:
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Handle: RePEc:bis:bisqtr:0706e

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Related research
Keywords:

Find related papers by JEL classification:
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

Cited by:
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  1. Don H Kim, 2007. "Spanned stochastic volatility in bond markets: a reexamination of the relative pricing between bonds and bond options," BIS Working Papers 239, Bank for International Settlements. [Downloadable!]
  2. Don Kim, 2008. "Challenges in macro-finance modeling," Finance and Economics Discussion Series 2008-06, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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This page was last updated on 2008-4-29.

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