Chart 2 displays one version of this decomposition of the 10-year U.S.  BIS central bankers’ speeches  1  Treasury yield based on a term structure model developed by Federal Reserve staff.1 The broad features I will emphasize are similar to those found by other authors using a variety of methods.2 All three components of the 10-year yield have declined since 2007.
The decomposition attributes much of the decline in the yield since 2010 to a sharp fall in the term premium, but the expected short-term real rate component also moved down significantly. Let’s consider each component more closely. The expected inflation component has drifted gradually downward for many years and has become quite stable.