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Instantaneous Forward Term Premium 2 Years Hence (THREEFFTP2)

Observation:

2024-05-24: -0.0522 (+ more)   Updated: May 28, 2024 2:03 PM CDT
2024-05-24:  -0.0522  
2024-05-23:  -0.0635  
2024-05-22:  -0.0957  
2024-05-21:  -0.1073  
2024-05-20:  -0.1009  
View All

Units:

Percent,
Not Seasonally Adjusted

Frequency:

Daily

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, May 30, 2024.

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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