Bond Market Focus Understanding Treasury Yields with Survey Data

AQR

Antti Ilmanen

Research

9 Pages

Antti Ilmanen uses survey data to break the United States 10 year Treasury yield into inflation expectations, real rate expectations, and bond risk premia. He shows how all three fell from the early 1980s to the early 2020s, then how rising real rates and premia plus fragile policy credibility now shape yields and inflation risk.

Date published: September 17 2025

Key Takeaways

Three part lens: Survey based decomposition isolates inflation expectations, real policy rates, and bond risk premia as distinct drivers.
Drivers of change: Long yield decline reflected falling inflation, then lower real rates, while recent rises come from real rates and premia.
Policy risk focus: Authors warn that challenged central bank independence and fiscal strain could de anchor expectations and reprice bond markets.
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