Behind the yield curve: uncovering term premia and key drivers of bond markets
Decomposing bond yields into their expectation and risk premium components and identifying the drivers of yield curve movements in real time is a challenging task for policymakers and investors
ARGEDION provides a new analytical tool for informed policy and investment decisions, including timely and reliable estimates of term premia for government bonds across the world, as well as consistent estimates for inflation risk premia and inflation expectations, expected real rates and long-term equilibrium rate r*
ARGEDION uses a proprietary model that leverages information on long-term rates and volatility to produce term premia estimates up to a 30-year maturity and offers a series of research reports to deep dive into the most recent trends in global bond markets
Term Premia
Historical and current data on term premia and convexity-adjusted term premia for over 60 countries in Euro Area, Europe, North and South America, Asia Pacific, Middle East, and Africa
Expected Short Rates
Historical and current data on expected short rates for over 60 countries in Euro Area, Europe, North and South America, Asia Pacific, Middle East, and Africa
Inflation Term Premia
Historical and current data on inflation term premia for Euro Area, US, UK, Japan, Australia, Canada, Germany, France, Italy
Expected Inflation Rates
Historical and current data on expected inflation rates for Euro Area, US, UK, Japan, Australia, Canada, Germany, France, Italy
Expected Real Rates and Equilibrium Rate (r*)
Historical and current data on expected real interest rates and the long-run equilibrium rate r* for Euro Area, US, UK, Japan, Australia, Canada, Germany, France, Italy
Research Notes
Research insights into term premia and other key factors of yield curve movements