Replication data for: Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment

Principal Investigator(s): View help for Principal Investigator(s) Michael D. Bauer; Glenn D. Rudebusch; Jing Cynthia Wu

Version: View help for Version V1

Name	File Type	Size	Last Modified
ghostscript.txt	text/plain	43 bytes	10/11/2019 05:33:PM
gs_font_path.txt	text/plain	16 bytes	10/11/2019 05:33:PM
pdftops.txt	text/plain	39 bytes	10/11/2019 05:33:PM

Project Description

Summary: Term 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.

Scope of Project

JEL Classification:
      E31 Price Level; Inflation; Deflation
      E43 Interest Rates: Determination, Term Structure, and Effects
      E52 Monetary Policy
      G12 Asset Pricing; Trading Volume; Bond Interest Rates
      H63 National Debt; Debt Management; Sovereign Debt

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Published Versions

V1 [2019-10-11]

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