A laundry list of explanations has been provided for the surge in the term premia of Treasuries since mid-year, which has accounted for more than ~100bp rise in the 10-year yield based on the ACM model estimate. (See Chart 1.) One explanation that doesn’t commonly feature, however, is the surge in bond yields itself. That’s surprising because investors have often required greater compensation for owning longer-dated Treasuries than rolling over shorter ones when volatility in bonds has risen.
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