See USTreasuries-Model-Guide for a description of the model we use to extract investors key expectations. In this note, we also try to explain why market participants have faced so many “conundrums” over the last twenty five years. This note was updated in July 2024 to discuss the sharp increase in risk premia observed since 2022. A version of this guide has been published in 2024 in Bankers, Markets & Investors, 177(2)
See also our other guide (and here in French ) for a discussion of what drives the US Treasuries yield curve, and how to use the indicators that we publish daily.
Every day we analyse how changes in the US Treasuries yield curve may be explained by changes of investors’ expectations (Fed funds rates AND risk premia).
This daily comment can be found on our daily monitoring page.
The daily data are available in the excel file RiskPremia-UST-V
In the following graph, we compare for the last few weeks our estimates for the future expected short rates over the next ten years with the equivalent estimates produced by the Federal Reserve Bank of New-York (see www.newyorkfed.org/research/data_indicators/term-premia-tabs#/overview)
Our approach allows to extract the Fed funds rate expected by investors at various horizons.
This page (graphs and excel file) is updated daily after US markets close.
Voir notre guide en français pour une discussion des déterminants des taux d’intérêt sur les obligations longues, et une présentation des indicateurs que nous publions tous les jours.
Les taux anticipés et les primes de risque (graphiques et fichier excel) sont mis à jour quotidiennement tous les soirs après la fermeture des marchés américains.