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Term Premium on a 10 Year Zero Coupon Bond (THREEFYTP10)

Observation:

2023-03-17: -0.3528 (+ more)   Updated: Mar 21, 2023
2023-03-17:  -0.3528  
2023-03-16:  -0.2977  
2023-03-15:  -0.3419  
2023-03-14:  -0.3090  
2023-03-13:  -0.3548  
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), Term Premium on a 10 Year Zero Coupon Bond [THREEFYTP10], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/THREEFYTP10, March 22, 2023.

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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