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Robustness of Long-Maturity Term Premium Estimates

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Abstract

This Note explains the differences between two of the models used to produce estimates of US Treasury term premiums which are produced by staff in the Federal Reserve System.

Suggested Citation

  • Canlin Li & Andrew C. Meldrum & Marius del Giudice Rodriguez, 2017. "Robustness of Long-Maturity Term Premium Estimates," FEDS Notes 2017-04-03, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfn:2017-04-03
    DOI: 10.17016/2380-7172.1927
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    File URL: https://www.federalreserve.gov/econres/notes/feds-notes/robustness-of-long-maturity-term-premium-estimates-20170403.htm
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    Cited by:

    1. Jonathan Hambur & Richard Finlay, 2018. "Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia," RBA Research Discussion Papers rdp2018-02, Reserve Bank of Australia.
    2. Ethan Struby & Michael F. Connolly, 2022. "Shadow Rate Models and Monetary Policy," Working Papers 2022-03, Carleton College, Department of Economics.
    3. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    4. Aguilar-Argaez Ana María & Diego-Fernández Forseck María & Elizondo Rocío & Roldán-Peña Jessica, 2020. "Term Premium Dynamics and its Determinants: The Mexican Case," Working Papers 2020-18, Banco de México.
    5. Paul, Pascal, 2023. "Banks, maturity transformation, and monetary policy," Journal of Financial Intermediation, Elsevier, vol. 53(C).
    6. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
    7. Elizondo Rocío, 2023. "The Three Intelligible Factors of the Yield Curve in Mexico," Working Papers 2023-13, Banco de México.
    8. Camelia Minoiu & Andrés Schneider & Min Wei, 2023. "Why Does the Yield Curve Predict GDP Growth? The Role of Banks," FRB Atlanta Working Paper 2023-14, Federal Reserve Bank of Atlanta.
    9. Karahan, Cenk C. & Soykök, Emre, 2022. "Term premium dynamics in an emerging market: Risk, liquidity, and behavioral factors," International Review of Financial Analysis, Elsevier, vol. 84(C).
    10. Bluwstein, Kristina & Yung, Julieta, 2019. "Back to the real economy: the effects of risk perception shocks on the term premium and bank lending," Bank of England working papers 806, Bank of England.

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