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

By Jonathan H. Wright. 2011

449 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3564b5806ac25808502460f88ce52f51a7598709

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Citations in the corpus

International Bond Risk Premia (2013, unknown): “10The first dataset covers 10 countries and is provided by Jonathan Wright and used in Wright (2011), while the second dataset covers 19 countries and consists of Citigroup world government bond total return indices in local currencies, available from Datastream.”
Identification and Bayesian Estimation of Dynamic Factor Models (2015, methodology): “We adopt the monthly nominal zero-coupon bond yields data constructed by Wright (2011), which cover nine countries from January 1971 to May 2009.”
Identification and Estimation of Dynamic Factor Models (2012, methodology): “We adopt the monthly nominal zero-coupon bond yields data constructed by Wright (2011), which covers nine countries from 1971 January to 2009 May.”
Evaluating asset-market effects of unconventional monetary policy: a multi-country review (2014, unknown): “We briefly summarize the econometric method, discussed in more detail in Wright (2012). We assume that a p 9 1 vector of yields, observed at the daily frequency, Yt, has the reduced form VAR representation AðLÞYt 1⁄4 lþ et ð4Þ”
A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (2012, unknown): “These findings regarding the role of inflation uncertainty for the bond risk premia, while using a very different approach, are consistent with the evidence documented in Wright (2011). For robustness, we also consider measures of expected growth and expected inflation which do not rely on the forec”
A shadow rate New Keynesian model (2016, unknown): “Empirical research, for example, Gagnon et al. (2011), Krishnamurthy and Vissing4For time-varying term premium in the term structure literature, see Wright (2011), Bauer, Rudebusch and Wu (2012, 2014), and Creal and Wu (forthcoming, 2017).”
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013, unknown): “Wright (2011) and Barillas (2011) use our framework to explore the effects of inflation uncertainty on bond market risk premiums using international data, and optimal bond portfolio choice in the presence of macro-dependent market prices of risk, respectively.”
Unconventional Monetary Policy and International Risk Premia (2016, background): “The zero-coupon bond yields all come from the dataset of Wright (2011), updated to the present.”
Decomposing real and nominal yield curves (2016, unknown): “The first is the average absolute TIPS yield curve fitting error from the Nelson-SiegelSvensson model of Gurkaynak, Sack, and Wright (2010) which we obtain from the Board of Governors of the Federal Reserve.”