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

Principal Investigator(s):  View help for Principal Investigator(s) Jonathan H. Wright

Version:  View help for Version V1

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  aer_2013_0735_data 10/11/2019 09:34:PM
LICENSE.txt text/plain 14.6 KB 10/11/2019 05:34:PM

Project Citation: 

Wright, Jonathan H. Replication data for: Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Reply. 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/E112730V1

Project Description

Summary:  View help for Summary 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.

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


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V1 [2019-10-11]

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