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New York Fed economists Tobias Adrian, Richard Crump, and Emanuel Moench (or "ACM") present Treasury term premia estimates for maturities from one to ten years from 1961 to the present. Data are available at daily and monthly frequencies, the latter being end-of-month observations. ACM further estimate fitted yields and the expected average short-term rates for the same set of maturities. The analysis is based on a five-factor, no-arbitrage term structure model, described in detail in the references below.
Our bloggers share a new approach for estimating the Treasury term premium and explain how their findings shed light on what drives Treasury yields over time.
Tobias Adrian, Richard Crump, Benjamin Mills, and Emanuel Moench, Liberty Street Economics, May 12, 2014