Michael T. Kiley

U.S. Treasury Market

Yield Curve Tracker

Yield levels across the curve, the 10‑year term premium, and the long‑run rate level each method implies.

Term premium and long‑run rate level methodology extends an academic paper decomposing the yield curve into expected short rates and a term premium, with the paper’s rolling‑window real‑time estimate replaced here by a discounted‑least‑squares VAR.

Methodology based on Kiley (2024), “Why Have Long‑Term Treasury Yields Fallen since the 1980s? Expected Short Rates and Term Premiums in (Quasi‑) Real Time,” The Journal of Fixed Income, 34(2), 5–21.

As of —

Treasury par yields at four maturities across the curve, monthly.

Yield curve evolution, 1992–present
3-month, 2-year, 5-year, and 10-year Treasury yields, monthly
Recent path
Last 10 years
For informational purposes only. All downloads and calculations are the author’s own and may contain errors — don’t rely on this for decisions or conclusions. Verify independently with your own data and calculations before using it for any purpose. The analysis and views presented are the author’s own and do not reflect the views of any institution with which he is affiliated.

How much of the 10‑year Treasury yield is compensation investors demand for holding duration risk, rather than a forecast of the average short‑term rate?

Term premium, 1992–present
10‑year Treasury term premium by estimation method, monthly
Recent path
Last 10 years
For informational purposes only. All downloads and calculations are the author’s own and may contain errors — don’t rely on this for decisions or conclusions. Verify independently with your own data and calculations before using it for any purpose. The analysis and views presented are the author’s own and do not reflect the views of any institution with which he is affiliated.
Recursive VAR — a 4‑variable VAR (level, slope, curvature of the yield curve), re‑estimated at every date using only data available through that date, used to project the average expected short rate over the next 10 years. Term premium = 10‑year yield minus that projection.
Discounted VAR — the same method, estimated by weighted least squares with geometrically decaying weights (ρ=0.99722), demeaned with the same weights so the reversion target stays consistent with the discounted dynamics; ρ is fixed so the total weight mass matches a 30‑year window (N_eff = 1/(1−ρ) = 360 months).
Kim‑Wright — term‑premium model published by the Federal Reserve Board.
ACM — term‑premium model (Adrian‑Crump‑Moench) published by the Federal Reserve Bank of New York.
References
M.T. Kiley (2024), “Why Have Long‑Term Treasury Yields Fallen since the 1980s? Expected Short Rates and Term Premiums in (Quasi‑) Real Time,” The Journal of Fixed Income, 34(2), 5–21. — Recursive/Discounted VAR methodology.

The 10‑year yield decomposed into term premium and expected short rates, and the long‑run short‑rate level each VAR method implies.

Long-run implied level, 2001–present
10‑year yield vs. each method’s implied long‑run short‑rate level