The Bank of Italy's working paper N. 1520, authored by Kevin Pallara, Luca Rossi, and Fabrizio Venditti, presents a new econometric model to identify macroeconomic factors influencing the term premium on US Treasury bonds. The model, applied to daily data from the financial crisis to mid-2025, finds that macroeconomic uncertainty, inflation risk, and domestic demand shocks are significant drivers of the term premium's daily variability. Notably, uncertainty is identified as the sole shock generating the observed negative correlation between short-term rate expectations and the term premium.

This publication is primarily an academic research output and does not impose new regulatory obligations. However, financial institutions, particularly those involved in fixed-income trading, portfolio management, and risk assessment, should be aware of the model's findings. The analysis provides insights into the drivers of US bond yields, which can inform investment strategies and risk management practices related to interest rate exposure. No specific compliance actions or deadlines are mandated by this paper.