IDEAS home Printed from https://ideas.repec.org/a/fip/fedfel/y2007ijul20n2007-21.html
   My bibliography  Save this article

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

Author

Listed:
  • Eric T. Swanson

Abstract

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.

Suggested Citation

  • Eric T. Swanson, 2007. "What we do and don't know about the term premium," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jul20.
  • Handle: RePEc:fip:fedfel:y:2007:i:jul20:n:2007-21
    as

    Download full text from publisher

    File URL: http://www.frbsf.org/publications/economics/letter/2007/el2007-21.html
    Download Restriction: no

    File URL: http://www.frbsf.org/publications/economics/letter/2007/el2007-21.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. 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.).
    2. GlennD. Rudebusch & Tao Wu, 2008. "A Macro-Finance Model of the Term Structure, Monetary Policy and the Economy," Economic Journal, Royal Economic Society, vol. 118(530), pages 906-926, July.
    3. John H. Cochrane & Monika Piazzesi, 2005. "Bond Risk Premia," American Economic Review, American Economic Association, vol. 95(1), pages 138-160, March.
    4. 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.
    5. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information In The Yield Curve: A Macro‐Finance Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 42-64, January.
    2. Janet L. Yellen, 2007. "The U.S. economy and monetary policy," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue dec7.
    3. repec:taf:quantf:v:17:y:2017:i:12:p:1783-1793 is not listed on IDEAS
    4. Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 316/2009, Department of Economics, University of Hohenheim, Germany.
    5. Ornelas, Jose Renato Haas & Silva Jr., Antonio Francisco de Almeida, 2015. "Testing the liquidity preference hypothesis using survey forecasts," Emerging Markets Review, Elsevier, vol. 23(C), pages 173-185.
    6. Espinosa-Torres, Juan Andrés & Gomez-Gonzalez, Jose Eduardo & Melo-Velandia, Luis Fernando & Moreno-Gutiérrez, José Fernando, 2016. "The international transmission of risk: Causal relations among developed and emerging countries’ term premia," Research in International Business and Finance, Elsevier, vol. 37(C), pages 646-654.
    7. Lemke, Wolfgang & Vladu, Andreea, 2015. "A Shadow-Rate Term Structure Model for the Euro Area," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113159, Verein für Socialpolitik / German Economic Association.
    8. Joshua V. Rosenberg & Samuel Maurer, 2008. "Signal or noise? Implications of the term premium for recession forecasting," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 1-11.

    More about this item

    Keywords

    Interest rates;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedfel:y:2007:i:jul20:n:2007-21. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Federal Reserve Bank of San Francisco Research Library). General contact details of provider: http://edirc.repec.org/data/frbsfus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.