No. 1520 - Macroeconomic shocks and the term premium in the US

Temi di discussione (Working papers)
by Kevin Pallara, Luca Rossi and Fabrizio Venditti
March 2026
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This work develops a new econometric model to identify the main macroeconomic factors driving the term premium on US ten-year Treasury yields. The model is estimated on daily data to explore the evolution of the premium from the onset of the financial crisis through mid-2025.

Uncertainty about the macroeconomic outlook, the cost of insuring against inflation risk, and unexpected shocks to US domestic demand account for most of the daily variability in the US term premium. In particular, uncertainty plays a crucial role as it is the only shock that generates the recurring negative correlation observed between short-term rate expectations and the term premium.

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  1. 17 March 2026
    No. 1520 - Macroeconomic shocks and the term premium in the US
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