The DOI matches its Crossref record; 29 of the 29 references it cites were found in a registry or an index.
Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset
Abstract
This paper provides cross-country empirical evidence on term premia. I construct a panel of zero-coupon nominal government bond yields spanning ten industrialized countries and nearly two decades. I hence compute forward rates and use two different methods to decompose these forward rates into expected future short-term interest rates and term premiums. The first method uses an affine term structure model with macroeconomic variables as unspanned risk factors; the second method uses surveys. I find that term premiums declined internationally over the sample period, especially in countries that apparently reduced inflation uncertainty by making substantial changes in their monetary policy frameworks. (JEL E13, E43, E52, G12, H63)
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Cites
Moffitt, R. A. (2009) · American Economic Review · doi:10.1257/aer.99.2.660 · Cited by 4,694
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Friedman, M. (1977) · Journal of Political Economy · doi:10.1086/260579 · Cited by 1,799
Ang, A., & Piazzesi, M. (2003) · Journal of Monetary Economics · doi:10.1016/s0304-3932(03)00032-1 · Cited by 1,685
Why Has U.S. Inflation Become Harder to Forecast?
STOCK, J. H., & WATSON, M. W. (2007) · Journal of Money, Credit and Banking · doi:10.1111/j.1538-4616.2007.00014.x · Cited by 1,664
The Aggregate Demand for Treasury Debt
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Cochrane, J. H., & Piazzesi, M. (2005) · American Economic Review · doi:10.1257/0002828053828581 · Cited by 1,474
Macro Factors in Bond Risk Premia
Ludvigson, S. C., & Ng, S. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhp081 · Cited by 1,042
Gürkaynak, R. S., Sack, B., & Swanson, E. (2005) · American Economic Review · doi:10.1257/0002828053828446 · Cited by 1,003
Do macro variables, asset markets, or surveys forecast inflation better?
Ang, A., Bekaert, G., & Wei, M. (2007) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2006.04.006 · Cited by 801
Cited by
Measuring the macroeconomic impact of monetary policy at the zero lower bound
WU, J. C., & XIA, F. D. (2016) · Journal of Money, Credit and Banking · doi:10.1111/jmcb.12300 · Cited by 1,842
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
JOSLIN, S., PRIEBSCH, M., & SINGLETON, K. J. (2014) · The Journal of Finance · doi:10.1111/jofi.12131 · Cited by 585
Disagreement Among Forecasters in G7 Countries
Dovern, J., Fritsche, U., & Slacalek, J. (2012) · Review of Economics and Statistics · doi:10.1162/rest_a_00207 · Cited by 394
Koijen, R. S. J., Moskowitz, T. J., Pedersen, L. H., & Vrugt, E. B. (2018) · Journal of Financial Economics · doi:10.1016/j.jfineco.2017.11.002 · Cited by 286
Metadata
- Authors
- Wright, J. H.
- Venue
- American Economic Review
- Publisher
- American Economic Association
- Published
- 2011-06-01
- Volume
- 101
- Issue
- 4
- Pages
- 1514-1534
- ISSN
- 0002-8282 (ISSN-L)
- OpenAlex
- W2066604636
- Cited by
- 502
- References
- 29
- FWCI
- 89.38
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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