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

• 成果类型: Editorial Material
• 署名作者: Bauer, Michael D.; Rudebusch, Glenn D.; Wu, Jing Cynthia
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco; University of Chicago
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.104.1.323
• 发表日期: 2014
• 页码: 323-337
• 关键词: risk; MODEL

摘要

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 long-term interest rates. In contrast, bias-corrected term premia show pronounced countercyclical behavior, consistent with theoretical and empirical arguments about movements in risk premia.