Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Reply
American Economic Review
vol. 104,
no. 1, January 2014
(pp. 338-41)
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.104.1.338Additional 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