Federal Reserve Economic Data

FRED Economic Data, St. Louis FED

Instantaneous Forward Term Premium 6 Years Hence (THREEFFTP6)

Observations

2025-03-28: 0.5779
Updated: Apr 1, 2025 2:03 PM CDT
Next Release Date: Not Available
2025-03-28:  0.5779  
2025-03-27:  0.6225  
2025-03-26:  0.6098  
2025-03-25:  0.5963  
2025-03-24:  0.5981  
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(a) Instantaneous Forward Term Premium 6 Years Hence, Percent, Not Seasonally Adjusted (THREEFFTP6)

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    Instantaneous Forward Term Premium 6 Years Hence
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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, April 7, 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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    Data on the nominal term structure model from Kim and Wright Academic Data

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    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

    6-Year Term Premium Daily Board of Governors Nation Public Domain: Citation Requested Not Seasonally Adjusted United States of America

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