Federal Reserve Economic Data

Instantaneous Forward Term Premium 2 Years Hence (THREEFFTP2)

2025-06-06: 0.1631
Updated: Jun 10, 2025 2:33 PM CDT
Next Release Date: Not Available
2025-06-06:  0.1631  
2025-06-05:  0.1114  
2025-06-04:  0.1006  
2025-06-03:  0.1364  
2025-06-02:  0.1276  
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Units:

Percent,
Not Seasonally Adjusted

Frequency:

Daily

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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 2 Years Hence [THREEFFTP2], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/THREEFFTP2, .

Release Tables

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

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