Bauer, Michael
[VerfasserIn]
;
Rudebusch, Glenn D.
[Sonstige Person, Familie und Körperschaft];
Wu, Jing Cynthia
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
In: American Economic Review, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 24, 2013 erstellt
Beschreibung:
Term premia implied by maximum likelihood estimates of affine term structure models are misleading because of small-sample bias. We show that accounting for this bias alters the conclusions about the trend, cycle, and macro-economic determinants of the term premia estimated in Wright (2011). His term premium estimates are essentially a-cyclical, and often just parallel the secular trend in long-term interest rates. In contrast, bias-corrected term premia show pronounced counter-cyclical behavior, consistent with theoretical and empirical arguments about movements in risk premia