Home > Releases > An ArbitrageFree ThreeFactor Term Structure Model and the Recent Behavior of LongTerm Yields and DistantHorizon Forward Rates > Instantaneous Forward Term Premium 2 Years Hence
Instantaneous Forward Term Premium 2 Years Hence (THREEFFTP2)
Observation:
20171229: 0.7934 (+ more)Updated: Jan 18, 2018
20171229:  0.7934  
20171228:  0.7734  
20171227:  0.7816  
20171226:  0.7506  
20171225:  . 
Units:
Percent,Not Seasonally Adjusted
Frequency:
DailyInstantaneous Forward Term Premium 2 Years Hence
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Instantaneous Forward Term Premium 2 Years Hence
Customize data:
Write a custom formula to transform one or more series or combine two or more series.
You can begin by adding a series to combine with your existing series.
Now create a custom formula to combine or transform the series.
Need help? []
For example, invert an exchange rate by using formula 1/a, where “a” refers to the first FRED data series added to this line. Or calculate the spread between 2 interest rates, a and b, by using the formula a  b.
Use the assigned data series variables (a, b, c, etc.) together with operators (+, , *, /, ^, etc.), parentheses {(,)}, and constants (1, 1.5, 2, etc.) to create your own formula (e.g., 1/a, ab, (a+b)/2, (a/(a+b+c))*100). As noted above, you may add other data series to this line before entering a formula.
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Title  Release Dates  


Instantaneous Forward Term Premium 2 Years Hence  20160527  20180118 
Source  


Board of Governors of the Federal Reserve System (US)  20160527  20180118 
Release  


An ArbitrageFree ThreeFactor Term Structure Model and the Recent Behavior of LongTerm Yields and DistantHorizon Forward Rates  20160527  20180118 
Units  


Percent  20160527  20180118 
Frequency  


Daily  20160527  20180118 
Seasonal Adjustment  


Not Seasonally Adjusted  20160527  20180118 
Notes  


Kim and Wright (2005) produced this data by fitting a simple threefactor arbitragefree term structure model to U.S. Treasury yields since 1990, in order to evaluate the behavior of longterm yields, distanthorizon forward rates, and term premiums. For the full paper, please go to http://www.federalreserve.gov/pubs/feds/2005/200533/200533abs.html

20160527  20180118 
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