Skip to main content
Release Date: Today
Historical Bond Risk Premiums and Expected Treasury Returns
Percent
Return IndicatorStart
FFile

Treasury Returns 
Excess Returns, Returns, and Yields 01/1929Mxlsx
Treasury Price Index01/1942Mxlsx

Treasury Level De-trenders

Tau CPI01/1967Mxlsx

Tau NGDP per capita05/1957Mxlsx
Tau RGDP per capita02/1958Mxlsx

Bond Risk Premiums
Banks' Net Income Gap - Median09/1986Mxlsx
Inflation Risk Premium01/1999Mxlsx

Real Bond Risk Premium01/1999Mxlsx

Return Predicting Factor (ISAT)01/1969Mxlsx


10-yr Return Decomposition
Liquidity and Oil01/1996Mxlsx

Inflation Expectations01/1999Mxlsx

Real Yield01/1999Mxlsx
Inflation Risk Premium01/1999Mxlsx

1. Sources: Capital Markets Data