التفاصيل البيبلوغرافية
| العنوان: |
Why Have Long-term Treasury Yields Fallen Since the 1980s? Expected Short Rates and Term Premiums in (Quasi-) Real Time. |
| المؤلفون: |
Kiley, Michael T. |
| المصدر: |
Working Papers: U.S. Federal Reserve Board's Finance & Economic Discussion Series; Jul2024, p1-23, 23p |
| مصطلحات موضوعية: |
YIELD curve (Finance), REAL-time computing, TREASURY management systems, INTEREST rates, PREMIUMS (Retail trade) |
| مستخلص: |
Treasury yields have fallen since the 1980s. Standard decompositions of Treasury yields into expected short-term interest rates and term premiums suggest term premiums account for much of the decline. In an alternative real-time decomposition, term premiums have fluctuated in a stable range, while long-run expected short-term interest rates have fallen. For example, a real-time decomposition of the 10-yr. Treasury yield shows term premiums essentially equal in late 2013 and 2023, while the long-run value of expected short-term interest rates is estimated to have fallen in a manner similar to the FOMC’s Summary of Economic Projections and estimates from research on long-run neutral interest rates. These results suggest standard decompositions may overstate the role of term premiums in fluctuations of the yield curve. [ABSTRACT FROM AUTHOR] |
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| قاعدة البيانات: |
Complementary Index |
