This website uses cookies.

By clicking the "Accept" button or continuing to browse our site, you agree to first-party and session-only cookies being stored on your device to enhance site navigation and analyze site performance and traffic. For more information on our use of cookies, please see our Privacy Policy.

  1. Home
  2. Journals
  3. American Economic Review
  4. January 2014
  5. Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Reply

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

  • Jonathan H. Wright
American Economic Review
vol. 104, no. 1, January 2014
(pp. 338-41)
Download Full Text PDF

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.

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

Additional Materials

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