Research

The Treasury Tantrum of 2023

Anthony M. Diercks and Dev Asnani, Board of Governors of the Federal Reserve System (FEDS Notes) · 2024

Splitting a move in the 10-year yield into expected policy and term premium is a standard markets question. This note gives a usable rule of thumb and a recent episode to cite.

• Macro and rates
• Markets

1 idea from this research

• TechniqueMacro and rates

  Split a move in the ten-year into expected policy and term premium with one rule of thumb

  A steepening is mostly term premium; a move in the two-year is half expectations, half premium. Use the rule, then say which model you trust.

  A markets interview asks why long yields moved, or a desk needs a quick decomposition before the models update.