Treasury Term Premia

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.

The Treasury term premia estimates made available for download here are not official estimates of the Federal Reserve Bank of New York, its president, the Federal Reserve System, or the Federal Open Market Committee.

Current Data
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ACM term premia data are updated daily.
Note: The ACM model is re-estimated once a month. This may result in minor changes to the historical decompositions of Treasury yields.

Treasury Term Premia: 1961-Present
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
Pricing the Term Structure with Linear Regressions
Tobias Adrian, Richard K. Crump, and Emanuel Moench
The authors propose a regression-based approach to the pricing of interest rates.
Journal of Financial Economics 110, no. 1 (October 2013): 110-38
Also as Federal Reserve Bank of New York Staff Reports, no. 340, August 2008 (revised April 2013)