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; Jing Cynthia Wu; Glenn D. Rudebusch

Version: View help for Version V1

Name	File Type	Size	Last Modified
BC			08/02/2019 08:20:PM
data			08/02/2019 08:20:PM
data_new			08/02/2019 08:20:PM
export_fig			08/02/2019 08:20:PM
jsz_library			08/02/2019 08:20:PM
param_bc2			08/02/2019 08:20:PM
param_ols			08/02/2019 08:20:PM
utilities			08/02/2019 08:20:PM
LICENSE.txt	text/plain	14.6 KB	08/02/2019 04:20:PM
analyze_macro.m	text/plain	3.5 KB	08/02/2019 04:20:PM

Project Citation:

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

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Published Versions

V1 [2019-08-02]

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