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

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.

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Year of publication:	2014
Authors:	Wright, Jonathan H.
Published in:	American Economic Review. - American Economic Association - AEA. - Vol. 104.2014, 1, p. 338-41
Publisher:	American Economic Association - AEA

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Extent:	application/pdf application/zip
Type of publication:	Article
Notes:	DOI: 10.1257/aer.104.1.338
Classification:	E31 - Price Level; Inflation; Deflation ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; G12 - Asset Pricing ; H63 - Debt; Debt Management
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010815655