Concepedia

Term Premium Estimation

Term Premium Estimation is a methodological framework in fixed-income finance that quantifies the excess return demanded by investors for holding long-term bonds over a sequence of short-term bonds, accounting for risk preferences and market expectations.

196

Publications

12.1K

Citations

255

Authors

170

Institutions

Publications per year

2017–2026

36

Parents

Publications

196

Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset

Jonathan H. Wright · American Economic Review · 2011 · 519 citations

, , +15

The forward premium puzzle: different tales from developed and emerging economies

Ravi Bansal, Magnus Dahlquist · Journal of International Economics · 2000 · 513 citations

, , +12

Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach

Michael W. Brandt · The Journal of Finance · 1999 · 428 citations

, , +17

An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates

Don H. Kim, Jonathan H. Wright · Finance and Economics Discussion Series · 2005 · 412 citations · Full text

, , +16

The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks

Glenn D. Rudebusch, Eric T. Swanson · American Economic Journal Macroeconomics · 2012 · 313 citations

, , +10

1–5 of 196

Authors

255

  1. GD
    Glenn D. Rudebusch

    Federal Reserve Bank of San Francisco, United States

    13 publications · 1.6K citations

    12

    h-index

  2. MD
    Michael D. Bauer

    Federal Reserve Bank of San Francisco, United States

    9 publications · 744 citations

    9

    h-index

  3. ET
    Eric T. Swanson

    University of California, Irvine, United States

    7 publications · 968 citations

    7

    h-index

  4. CL
    Canlin Li

    Federal Reserve, United States

    6 publications · 279 citations

    6

    h-index

  5. JH
    Jonathan H. Wright

    Johns Hopkins University, United States

    6 publications · 1.4K citations

    6

    h-index

1–5 of 255

Institutions

170

  1. Federal Reserve Board of Governors

    Washington D.C., United States

    20 h-index

    42 publications

    2.9K citations

  2. Federal Reserve

    Washington D.C., United States

    19 h-index

    39 publications

    2.6K citations

  3. Federal Reserve Bank of San Francisco

    San Francisco, United States

    13 h-index

    26 publications

    3.1K citations

  4. National Bureau of Economic Research

    Cambridge, United States

    10 h-index

    18 publications

    940 citations

  5. University of Pennsylvania

    Philadelphia, United States

    7 h-index

    9 publications

    1.1K citations

  6. Duke University

    Durham, United States

    6 h-index

    9 publications

    840 citations

  7. University of Chicago

    Chicago, United States

    6 h-index

    7 publications

    1.2K citations

  8. University of Notre Dame

    Notre Dame, United States

    6 h-index

    8 publications

    287 citations

1–8 of 170

Venues

  1. SSRN Electronic Journal

    Repository · 53 publications · 2K citations

    24

    h-index

  2. Finance and Economics Discussion Series

    FEDS · 8 publications · 918 citations

    8

    h-index

  3. RePEc: Research Papers in Economics

    Repository · 7 publications · 180 citations

    7

    h-index

  4. Journal of Financial Economics

    7 publications · 919 citations

    7

    h-index

  5. The Journal of Finance

    5 publications · 793 citations

    5

    h-index

1–5