Why is the term premium low in the United States, the euro zone and Japan?

The long-term interest rate can be broken down between expectations of the future short-term interest rate and the term premium, which remunerates the risk of holding a long-term bond. The term premium has become very low in the United States, the euro zone and Japan (we measure the term premium by the spread between 10- and 2-year interest rates). This shows that the risk of holding bonds is low: the expected variability of long-term interest rates is low, which probably results from the low variability of inflation and therefore the low variability of short-term interest rates.