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
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BC | 10/11/2019 09:33:PM | ||
data | 10/11/2019 09:33:PM | ||
data_new | 10/11/2019 09:33:PM | ||
export_fig | 10/11/2019 09:33:PM | ||
jsz_library | 10/11/2019 09:33:PM | ||
param_bc2 | 10/11/2019 09:33:PM | ||
param_ols | 10/11/2019 09:33:PM | ||
utilities | 10/11/2019 09:33:PM | ||
LICENSE.txt | text/plain | 14.6 KB | 10/11/2019 05:33:PM |
analyze_macro.m | text/plain | 3.5 KB | 10/11/2019 05:33:PM |
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Project Citation:
Bauer, Michael D., Rudebusch, Glenn D., and Wu, Jing Cynthia. Replication data for: Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment. Nashville, TN: American Economic Association [publisher], 2014. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112729V1
Project Description
Summary:
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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:
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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
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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