Skip to main content

Instantaneous Forward Term Premium 10 Years Hence (THREEFFTP10)

Observation:

2017-06-30: 0.6404  
Updated: Jul 12, 2017

Units:

Percent,
Not Seasonally Adjusted

Frequency:

Daily
1Y | 5Y | 10Y | Max
Close
  EDIT LINE 1
(a) Instantaneous Forward Term Premium 10 Years Hence, Percent, Not Seasonally Adjusted (THREEFFTP10)
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

Instantaneous Forward Term Premium 10 Years Hence

Select a date that will equal 100 for your custom index:
to

Customize data:

Write a custom formula to transform one or more series or combine two or more series.

You can begin by adding a series to combine with your existing series.

Now create a custom formula to combine or transform the series.
Need help? []

Finally, you can change the units of your new series.

Select a date that will equal 100 for your custom index:

ADD LINE

Add data series to graph:

Create user-defined line? []
FORMAT GRAPH
Log scale:

NOTES

Source: Board of Governors of the Federal Reserve System (US)  

Release: An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates  

Units:  Percent, Not Seasonally Adjusted

Frequency:  Daily

Notes:

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

Suggested Citation:

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, October 16, 2017.

RELATED CONTENT

Related Resources

Related Categories

Data on the nominal term structure model from Kim and Wright Academic Data

Sources

More Releases from Board of Governors of the Federal Reserve System (US)

Releases

More Series from An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates

Tags

Term Premium 10-Year Daily Board of Governors Not Seasonally Adjusted United States of America Nation
RELEASE TABLES





Browse Data

Retrieving data.
Updating graph.

Need Help?

Questions or Comments
FRED Help

Subscribe to the FRED newsletter

Follow us

Twitter logo Google Plus logo Facebook logo YouTube logo LinkedIn logo
Back to Top
Click to send us feedback
Top