The Bond Market Term Premium: What is it, and How Can We Measure it?
14 Pages Posted: 24 Jun 2012
Date Written: June 1, 2007
We review the concept of the term premium, examine alternative methods used to estimate it and discuss some of the challenges encountered in such efforts. We also explain how survey forecasts could be useful for providing an informal, model-free cross-check on simple regression-based forecasting models of term premia and for formal estimation of flexibly specified no-arbitrage models.
JEL Classification: E43, E47, G12.
Suggested Citation: Suggested Citation