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
  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

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:  View help for 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:  View help for 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


Related Publications

Download this project

Published Versions

V1 [2019-10-11]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.