Bond Risk Premiums and Expected Treasury Returns
Release Date: Today
Historical Bond Risk Premiums and Expected Treasury Returns
Percent
| Return Indicator | Start | F | File | |
|---|---|---|---|---|
| Treasury Returns | ||||
| Excess Returns, Returns, and Yields | 01/1929 | M | xlsx | |
| Treasury Price Index | 01/1942 | M | xlsx | |
| Treasury Level De-trenders | ||||
| Tau CPI | 01/1967 | M | xlsx | |
| Tau NGDP per capita | 05/1957 | M | xlsx | |
| Tau RGDP per capita | 02/1958 | M | xlsx | |
| Bond Risk Premiums | ||||
| Banks' Net Income Gap - Median | 09/1986 | M | xlsx | |
| Inflation Risk Premium | 01/1999 | M | xlsx | |
| Real Bond Risk Premium | 01/1999 | M | xlsx | |
| Return Predicting Factor (ISAT) | 01/1969 | M | xlsx | |
| 10-yr Return Decomposition | ||||
| Liquidity and Oil | 01/1996 | M | xlsx | |
| Inflation Expectations | 01/1999 | M | xlsx | |
| Real Yield | 01/1999 | M | xlsx | |
| Inflation Risk Premium | 01/1999 | M | xlsx | |
1. Sources: Capital Markets Data