## Figure 1.14. Policy Rates, 10-Year Government Bond Yields, and Term Premiums

## Source details

**Canonical URL:** [Figure 1.14. Policy Rates, 10-Year Government Bond Yields, and Term Premiums](https://www.imf.org/-/media/files/publications/gfsr/2017/october/chapter-1/pdf-data/figure1-14.pdf)

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- [Markdown version](/-/media/files/publications/gfsr/2017/october/chapter-1/pdf-data/figure1-14.pdf.md)
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### 1. Federal Funds Rate and Term Premiums during Previous Monetary Policy Cycles
- Caption: Policy rates and term premiums have diverged during recent monetary policy tightening cycles.
- Chart indicators and labels shown:
  - Vertical axis markers: –200, –100, 0, 100, 200, 300, 400, 500, 600, 700
  - Country labels (ISO codes): JPN GBR CAN DEU USA
  - Series shown: Current, Maximum, Mean, Minimum
  - Quarters after first rate hike: 0, 1, 2, 3, 4, 5, 6
  - Cycle labels: 1994 cycle, 1999 cycle, 2004 cycle, Current cycle
  - Data label positions/dates of minimum: Jun. 16, Sep. 16, Sep. 16, Jun. 16, Jun. 16

### 2. Term Premiums in Advanced Economies (Basis points, 1990–2017)
- Caption: ... but term premiums are near historical lows in several major economies.
- Series and markers:
  - Horizontal axis time span indicator: 2007 08 09 10 11 12 13 14 15 16 17 YTD
  - Vertical axis markers: –1, 0, 1, 2, 3, 4, 5, 6
  - Country labels: Japan, United Kingdom, United States, Euro area
  - Aggregate series: Average, Maximum, Minimum

### 3. Market-Implied Cumulative Change in Policy Rates (Basis points)
- Caption: Monetary policy cycles are diverging ...
- Chart elements:
  - Horizontal axis: Quarters after first rate hike (0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10)
  - Vertical axis (left): Cumulative change in policy rate (Percent) with markers 0, 1, 2, 3, 4, 5, 6
  - Vertical axis (right): Treasury 10-year yield (right scale) with markers 0, 50, 100, 150, 200, 250, 300, 350, 400
  - Cumulative change in term premiums shown in basis points along with cumulative change in policy rate and Treasury 10-year yield series

### 4. Overnight Indexed Swap Forward Rate Curves for Advanced Economies (Percent)
- Caption: ... and markets expect a slow pace of tightening.
- Notes on construction:
  - Panel shows annual average three-month overnight indexed swap (OIS) rates on forward contracts for tenors from six months to five years.
  - The OIS forward curves are constructed from the US dollar, euro, Japanese yen, and British pound, and the average, maximum, and minimum are computed for each tenor across the four jurisdictions.
  - Time labels on tenor axis: t – 0, End-2017, End-2018, End-2019, End-2020
  - Aggregate series shown: Average, Maximum, Minimum
  - Numeric tenor markers: 0, 10, 20, 30, 40, 50, 60, 70, 80 (percent scale representation across tenors)

Sources and notes
- Sources: Bloomberg Finance L.P.; and IMF staff estimates based on Wright 2011.
- Notes: Data labels in the figure use International Organization for Standardization (ISO) country codes. YTD = year to date.

*Figure 1.14. Policy Rates, 10-Year Government Bond Yields, and Term Premiums*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2017/october/chapter-1/pdf-data/figure1-14.pdf_