Research

Treasury Term Premia: 1961-Present

Tobias Adrian, Richard K. Crump, Benjamin Mills and Emanuel Moench, Federal Reserve Bank of New York (Liberty Street Economics) · 2014

The ACM term premium is the series markets quote when they say the term premium rose or fell. Knowing how it is built, and how it differs from survey-based measures, separates a prepared candidate.

• Macro and rates
• Markets

1 idea from this research

• TechniqueMacro and rates

  A yield is expected short rates plus a term premium, and the premium is modelled, not seen

  Term premium is an estimate from a model; say which model, and treat the level as less certain than the direction.

  Any rates conversation that invokes the term premium, and any question about why long yields moved while policy did not.