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Categories > Academic Data > Data on the nominal term structure model from Kim and Wright
Observation:
2021-04-02: 0.3563 (+ more)2021-04-02: | 0.3563 | |
2021-04-01: | 0.3412 | |
2021-03-31: | 0.3590 | |
2021-03-30: | 0.3407 | |
2021-03-29: | 0.3214 | |
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Units:
Percent,Frequency:
DailyData in this graph are copyrighted. Please review the copyright information in the series notes before sharing.
Source: Board of Governors of the Federal Reserve System (US)
Units: Percent, Not Seasonally Adjusted
Frequency: Daily
Kim and Wright (2005) produced this data by fitting a simple three-factor arbitrage-free term structure model to U.S. Treasury yields since 1990, in order to evaluate the behavior of long-term yields, distant-horizon forward rates, and term premiums. For the full paper, please go to http://www.federalreserve.gov/pubs/feds/2005/200533/200533abs.html
Board of Governors of the Federal Reserve System (US), Instantaneous Forward Term Premium 10 Years Hence [THREEFFTP10], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/THREEFFTP10, April 10, 2021.
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