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

Jonathan Wright

American Economic Review, 2014, vol. 104, issue 1, 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.

JEL-codes: E31 E43 E52 G12 H63 (search for similar items in EconPapers)
Date: 2014
Note: DOI: 10.1257/aer.104.1.338
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Citations: View citations in EconPapers (20)

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