Home > Releases > An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates > Term Premium on a 4 Year Zero Coupon Bond
Term Premium on a 4 Year Zero Coupon Bond (THREEFYTP4)
Observation:
2018-03-29: -0.5013 (+ more)Updated: Apr 16, 2018
2018-03-29: | -0.5013 | |
2018-03-28: | -0.4875 | |
2018-03-27: | -0.4940 | |
2018-03-26: | -0.4510 | |
2018-03-23: | -0.4692 |
Units:
Percent,Not Seasonally Adjusted
Frequency:
DailyTerm Premium on a 4 Year Zero Coupon Bond
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Term Premium on a 4 Year Zero Coupon Bond
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, a-b, (a+b)/2, (a/(a+b+c))*100). As noted above, you may add other data series to this line before entering a formula.
Finally, you can change the units of your new series.
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Title | Release Dates | |
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Term Premium on a 4 Year Zero Coupon Bond | 2016-05-27 | 2018-04-05 |
Source | ||
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Board of Governors of the Federal Reserve System (US) | 2016-05-27 | 2018-04-05 |
Release | ||
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An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates | 2016-05-27 | 2018-04-05 |
Units | ||
|
||
Percent | 2016-05-27 | 2018-04-05 |
Frequency | ||
|
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Daily | 2016-05-27 | 2018-04-05 |
Seasonal Adjustment | ||
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Not Seasonally Adjusted | 2016-05-27 | 2018-04-05 |
Notes | ||
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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
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2016-05-27 | 2018-04-05 |
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