Term Premium

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msrahman
Posts: 53
Joined: Wed Oct 31, 2012 2:32 pm

Term Premium

Unread post by msrahman »

Hello,

I need to calculated the term premium (the interest rate on long term bond-Expected interest rate on short term bond). Can anybody guide me on if RATS has any procure for this?

Thanks.

Sincerely,
Sajjadur Rahman.
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TomDoan
Posts: 7825
Joined: Wed Nov 01, 2006 4:36 pm

Re: Term Premium

Unread post by TomDoan »

By what method?
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msrahman
Posts: 53
Joined: Wed Oct 31, 2012 2:32 pm

Re: Term Premium

Unread post by msrahman »

By Rudebusch-Wu measure (Rudebusch and Wu (2004, 2007)).

Sajjadur
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