Using the U.S Treasury Yield Curves for September 17, 2021, calculate, using geometric means, the following Implied Forward Rates:

US Treasury Yield Curves 9/17/2021

U.S. Treasury Nominal Yield Curve

Date 1 Mo 2 Mo 3 Mo 6 Mo 1 Yr 2 Yr 3 Yr 5 Yr 7 Yr 10 Yr 20 Yr 30 Yr

9/17/21 0.06 0.06 0.04 0.05 0.07 0.23 0.47 0.88 1.17 1.37 1.85 1.91

U.S. Treasury Real Yield Curve

DATE	5 YR	7 YR	10 YR	20 YR	30 YR
9/17/21	-1.63	-1.28	-0.96	-0.52	-0.32

1. Calculate the Implied Forward nominal interest rate for a one-year maturity government bond, two years from Today

Using Geometric Means:

(1+₀R₃)³ = (1+₀R₂)²(1+ ₂f₁) then, solving for ₂f₁,

1. Calculate the Implied Forward nominal interest rate for a two-year maturity government bond, five years from Today

(1+₀R₇)⁷ = (1+₀R₅)⁵(1+₅f₂)² then, solving for ₅f₂,

Note: In general,implied Forward interest rate for a N year maturity government bond, t years from Today:

1. Please explain what factors and assumptions, other than the expectation theory, affect the shape of the yield curve and estimated implied forward rates.