The National Institute of Economic and Social Research (NIESR) Term Premium Tracker aims to provide quarterly updates of the Treasury term premia estimates for the UK, the US and some selected European countries’ based on current daily zero-coupon bond yields data. The Treasury term premia estimates at the 10-year maturity and the expected average short-term rates for the same maturity are based on data from August 7th, 1997 to May 31st, 2021, which weights equally the so-called zero lower bound (ZLB) period – with the Bank of England’s short-term nominal interest rate at or near zero – and the period pre-ZLB. The analysis is based on a five-factor, no-arbitrage term structure model, described in detail in the references below. The estimates we obtain are broadly consistent with those produced by the Federal Reserve Bank of New York.
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