Release: An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates
Link: https://alfred.stlouisfed.org/release?rid=354

ALFRED (ArchivaL Federal Reserve Economic Data)
Economic Research Division
Federal Reserve Bank of St. Louis

File Created: 2024-05-18 5:54 AM CDT

                                                                               Release Dates      
Name                                                                        Start         End     
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An Arbitrage-Free Three-Factor Term Structure Model and the Recent        2016-08-11   2024-05-14 
Behavior of Long-Term Yields and Distant-Horizon Forward Rates        

Link
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https://www.federalreserve.gov/data/three-factor-nominal-term-structur    2016-08-11   2024-05-14 

Source
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Board of Governors of the Federal Reserve System (US)                     2016-08-11   2024-05-14 

Notes
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This research reviews a simple three-factor arbitrage-free term           2016-08-11   2024-05-14 
structure model estimated by Federal Reserve Board staff and reports  
results obtained from fitting this model to U.S. Treasury yields since
1990. The model ascribes a large portion of the decline in long-term  
yields and distant-horizon forward rates since the middle of 2004 to a
fall in term premiums. A variant of the model that incorporates       
inflation data indicates that about two-thirds of the decline in      
nominal term premiums owes to a fall in real term premiums, but       
estimated compensation for inflation risk has diminished as well.     


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