This page provides the US short term (3.5 years) term premium estimates (daily) based on the methodology developed in Ye, Xiaoxia. "A New Approach to Measuring Market Expectations and Term Premia." The Journal of Fixed Income 24, no. 4 (2015): 22-46.


Currently, the data (click here to download) cover the period from Jan 04, 1982 to Feb 14, 2020. All the data are in percentage. This page would be updated annually (hopefully more frequently).

More complete term premium data (term structure for more countries) are now available in the sub-page.