Replication data for: Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment
- Bauer, Michael D.
- Rudebusch, Glenn D.
- Wu, Jing Cynthia
AbstractTerm premia implied by maximum likelihood estimates of affine term structure models are misleading because of small-sample bias. We show that accounting for this bias alters the conclusions about the trend, cycle, and macroeconomic determinants of the term premia estimated in Wright (2011). His term premium estimates are essentially acyclical, and often just parallel the secular trend in longterm interest rates. In contrast, bias-corrected term premia show pronounced countercyclical behavior, consistent with theoretical and empirical arguments about movements in risk premia.
Is supplement to
DOI: 10.1257/aer.104.1.323 (Text)
Bauer, Michael D., Glenn D. Rudebusch, and Jing Cynthia Wu. “Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment.” American Economic Review 104, no. 1 (January 2014): 323–37. https://doi.org/10.1257/aer.104.1.323.
- ID: 10.1257/aer.104.1.323 (DOI)
Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12