{
  "title": "A Macroeconomic Approach to the Term Premium",
  "publication": "IMF Working Papers, June 15, 2018",
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  "summary": "In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise.",
  "sections": [
    {
      "heading": "Overview and Motivation",
      "content": "- Term premia have been very low and sometimes even negative in recent years.\n- With the United States economy growing above potential, inflationary pressures are on the rise.\n- Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy.\n- An inflation surprise could require monetary policy to tighten faster than anticipated, inducing a sudden decompression of term and other risk premia and thus tightening financial conditions."
    },
    {
      "heading": "Methodology",
      "content": "- Proposes a semi-structural dynamic term structure model augmented with macroeconomic factors to include cyclical dynamics.\n- Focus is on medium- to long-run forecasts."
    },
    {
      "heading": "Key Findings",
      "content": "- Term premium estimates are in line with those from other studies.\n- The macroeconomic approach provides:\n  - Plausible, stable estimates of expected long-term interest rates.\n  - Forecasts of short- and long-term interest rates as well as cyclical macroeconomic variables that are stunningly close to those generated from large-scale macroeconomic models."
    },
    {
      "heading": "Subjects and Keywords (as provided)",
      "content": "- Subjects: Bonds, Financial institutions, Financial services, Inflation, Labor, Prices, Short term interest rates, Unemployment, Yield curve\n- Keywords: Bonds, core PCE inflation series, hike cycle, Inflation, inflation expectation, inflation variable, interest rate expectation, interest rate forecast, New York Fed conduct, risk-free rate, Short term interest rates, State Space, term premium, term structure of interest rates, Unemployment, WP, yield curve\n\n---\n\n Content in this bundle\n\n- A Macroeconomic Approach to the Term Premium, WP/18/140, June 2018\n  - A Macroeconomic Approach to the Term Premium, WP/18/140, June 2018 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - A Macroeconomic Approach to the Term Premium, WP/18/140, June 2018 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2018/06/15/a-macroeconomic-approach-to-the-term-premium-45969"
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    "Authors: Emanuel Kopp, Peter D. Williams",
    "Published: June 15, 2018",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781484362150.001",
    "Term premia have been very low and sometimes even negative in recent years.",
    "With the United States economy growing above potential, inflationary pressures are on the rise.",
    "Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy.",
    "An inflation surprise could require monetary policy to tighten faster than anticipated, inducing a sudden decompression of term and other risk premia and thus tightening financial conditions.",
    "Proposes a semi-structural dynamic term structure model augmented with macroeconomic factors to include cyclical dynamics.",
    "Focus is on medium- to long-run forecasts.",
    "Term premium estimates are in line with those from other studies.",
    "The macroeconomic approach provides:",
    "Subjects: Bonds, Financial institutions, Financial services, Inflation, Labor, Prices, Short term interest rates, Unemployment, Yield curve",
    "Keywords: Bonds, core PCE inflation series, hike cycle, Inflation, inflation expectation, inflation variable, interest rate expectation, interest rate forecast, New York Fed conduct, risk-free rate, Short term interest rates, State Space, term premium, term structure of interest rates, Unemployment, WP, yield curve",
    "**A Macroeconomic Approach to the Term Premium, WP/18/140, June 2018**"
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