Idioma:

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

Wright, Jonathan H.

The American economic review, 2011-06, Vol.101 (4), p.1514-1534 [Revista revisada por pares]

Nashville: American Economic Association

Texto completo disponible

Citas Citado por

Acciones

Título:
Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset
Autor: Wright, Jonathan H.
Materias: Asset pricing ; Bond market ; Bond markets ; Central banks ; Datasets ; Economic expectations ; Economic inflation ; Economic models ; Economic surveys ; Estimates ; Federal Reserve monetary policy ; Government bonds ; Gross domestic product ; Inflation ; Inflation rates ; Interest rates ; International finance ; Macroeconomics ; Monetary policy ; Monetary theory ; Shorter Papers ; Studies ; Treasury bills ; Yield curve ; Yield curves
Es parte de: The American economic review, 2011-06, Vol.101 (4), p.1514-1534
Notas: ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
Descripción: 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) [PUBLICATION ABSTRACT]
Editor: Nashville: American Economic Association
Idioma: Inglés

Volver a la lista de resultados

Anterior Resultado 9 Siguiente Ir a la siguiente página

Realización: Logos de Redes Sociales:

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

Wright, Jonathan H.

Nashville: American Economic Association

Buscando en bases de datos remotas, por favor espere