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American Economic Review: Vol. 104 No. 1 (January 2014)

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Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Reply

Article Citation

Wright, Jonathan H. 2014. "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Reply." American Economic Review, 104(1): 338-41.

DOI: 10.1257/aer.104.1.338

Abstract

Bauer, Rudebusch, and Wu (2014) advocate the use of bias-corrected estimates in their comment on Wright (2011). Econometric estimation of a macro-finance VAR provides quite imprecise estimates of future short-term interest rates. Nonetheless, comparison with survey responses indicates that the proposed bias-corrected point estimates are less plausible than their maximum-likelihood counterparts.

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Authors

Wright, Jonathan H. (Johns Hopkins U)

JEL Classifications

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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