Federal Reserve Economic Data

Instantaneous Forward Term Premium 6 Years Hence (THREEFFTP6)

2025-02-21: 0.6665
Updated: Feb 25, 2025 2:03 PM CST
Next Release Date: Not Available
2025-02-21:  0.6665  
2025-02-20:  0.7001  
2025-02-19:  0.7111  
2025-02-18:  0.7161  
2025-02-17:  .  
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Units:

Percent,
Not Seasonally Adjusted

Frequency:

Daily
1Y5Y10YMax
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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 6 Years Hence [THREEFFTP6], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/THREEFFTP6, March 3, 2025.

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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