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

蝌蚪网 Review

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

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

  • Jonathan H. Wright
蝌蚪网 Review
vol. 101, no. 4, June 2011
(pp. 1514–34)
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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)

Citation

Wright, Jonathan H. 2011. "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset." 蝌蚪网 Review 101 (4): 1514–34. DOI: 10.1257/aer.101.4.1514

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