## boxfigure1-2-1

## Source details

**Canonical URL:** [boxfigure1-2-1](https://www.imf.org/-/media/files/publications/gfsr/2018/april/ch1/pdf/boxfigure1-2-1.pdf)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2018/april/ch1/pdf/boxfigure1-2-1.pdf.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2018/april/ch1/pdf/boxfigure1-2-1.pdf.json)

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### Figure description
- Title shown in figure: Estimated Term Premiums
- Subtitles/labels shown in figure: Ten-year term premium; Weighted-average fitted term premium
- Axis/scale markers shown in figure (exact text sequence as in source): –1 0 1 2 3 4 5
- Secondary axis/scale markers shown in figure (exact text sequence as in source): –1 0 1 2 3 4
- Horizontal axis label sequence shown in figure (exact text as in source): 9819962000020406081012141618

### Countries covered
- 1. United States
- 2. Germany

### Methodology notes (verbatim)
- Ten-year term premium estimates follow the Adrian, Crump, and Moench (2013) model.
- The estimates for the US term premium follow a five-factor specification using underlying fitted yield data from June 1961 (for example, ACMTP10 Index).
- The estimates for Germany follow a four-factor specification using fitted yields from Bloomberg from October 1991.
- The weighted-average fair value estimate is the average of all estimated conditional term premium models.
- The shaded area denotes the range of fitted values from these models.

### Key on-figure values and labels (verbatim)
- Ten-year term premium
- Weighted-average fitted term premium

*Sources: Bloomberg Finance L.P.; and IMF staff estimates.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2018/april/ch1/pdf/boxfigure1-2-1.pdf_