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

American Economic Review

ISSN 0002-8282 (Print) | ISSN 1944-7981 (Online)

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)
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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