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What we do and don't know about the term premium

  • Eric T. Swanson

Understanding long-term interest rate fluctuations requires one to understand what the term premium is and how it may change over time. In this Economic Letter, we define the term premium and explain the state of the art in measuring it. We conclude with some discussion of the limitations of our current knowledge.

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File URL: http://www.frbsf.org/publications/economics/letter/2007/el2007-21.pdf
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Article provided by Federal Reserve Bank of San Francisco in its journal FRBSF Economic Letter.

Volume (Year): (2007)
Issue (Month): jul20 ()
Pages:

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Handle: RePEc:fip:fedfel:y:2007:i:jul20:n:2007-21
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  1. Tao Wu & Glenn Rudebusch, 2004. "A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy," 2004 Meeting Papers 104, Society for Economic Dynamics.
  2. Alan Greenspan, 2005. "Federal Reserve Board's semiannual monetary policy report to the Congress: testimony before the Committee on Financial Services, U.S. House of Representatives, February 17, 2005," Speech 58, Board of Governors of the Federal Reserve System (U.S.).
  3. John H. Cochrane & Monika Piazzesi, 2002. "Bond Risk Premia," NBER Working Papers 9178, National Bureau of Economic Research, Inc.
  4. John H. Cochrane, 2007. "Commentary on "Macroeconomic implications of changes in the term premium"," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 271-282.
  5. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2007. "Macroeconomic implications of changes in the term premium," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 241-270.
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