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Treasury Term Premia: 1961-Present

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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.

Suggested Citation

  • Tobias Adrian & Richard K. Crump & Benjamin Mills & Emanuel Moench, 2014. "Treasury Term Premia: 1961-Present," Liberty Street Economics 20140512, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:86948
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    File URL: https://libertystreeteconomics.newyorkfed.org/2014/05/treasury-term-premia-1961-present.html
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    Cited by:

    1. Passmore, Stuart Wayne & von Hafften, Alexander H., 2020. "Financing affordable and sustainable homeownership with Fixed-COFI mortgages," Regional Science and Urban Economics, Elsevier, vol. 80(C).

    More about this item

    Keywords

    Term structure of interest rates; Treasury term premia;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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