The Bond Market Term Premium: What is it, and How Can We Measure it?

14 Pages Posted: 24 Jun 2012

See all articles by Don H. Kim

Don H. Kim

Federal Reserve Board - Division of Monetary Affairs

Athanasios Orphanides

Massachusetts Institute of Technology (MIT) - Sloan School of Management

Date Written: June 1, 2007

Abstract

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

Kim, Don H. and Orphanides, Athanasios, The Bond Market Term Premium: What is it, and How Can We Measure it? (June 1, 2007). BIS Quarterly Review, June 2007. Available at SSRN: https://ssrn.com/abstract=1599651

Don H. Kim

Federal Reserve Board - Division of Monetary Affairs ( email )

20th and C Streets, NW
Washington, DC 20551
United States

Athanasios Orphanides (Contact Author)

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

100 Main Street
E62-416
Cambridge, MA 02142
United States

HOME PAGE: http://mitsloan.mit.edu/faculty/detail.php?in_spseqno=54058

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