메뉴 건너뛰기




Volumn 101, Issue 4, 2011, Pages 1514-1534

Term premia and inflation uncertainty: Empirical evidence from an international panel dataset

Author keywords

[No Author keywords available]

Indexed keywords


EID: 79959875306     PISSN: 00028282     EISSN: None     Source Type: Journal    
DOI: 10.1257/aer.101.4.1514     Document Type: Article
Times cited : (305)

References (40)
  • 2
    • 34247346581 scopus 로고    scopus 로고
    • Do macro variables, asset markets, or surveys forecast inflation Better?
    • Ang, Andrew, Geert Bekaert, and Min Wei. 2007. "Do Macro Variables, Asset Markets, or Surveys Forecast Inflation Better?" Journal of Monetary Economics, 54(4): 1163-212.
    • (2007) Journal of Monetary Economics , vol.54 , Issue.4 , pp. 1163-1212
    • Ang, A.1    Bekaert, G.2    Wei, M.3
  • 3
    • 0037905686 scopus 로고    scopus 로고
    • A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
    • DOI 10.1016/S0304-3932(03)00032-1, PII S0304393203000321
    • Ang, Andrew, and Monika Piazzesi. 2003. "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables." Journal of Monetary Economics, 50(4): 745-87. (Pubitemid 36678161)
    • (2003) Journal of Monetary Economics , vol.50 , Issue.4 , pp. 745-787
    • Ang, A.1    Piazzesi, M.2
  • 4
    • 0002032312 scopus 로고
    • The new keynesian economics and the output-inflation trade-off
    • Ball, Laurence, N. Gregory Mankiw, and David Romer. 1988. "The New Keynesian Economics and the Output-Inflation Trade-Off." Brookings Papers on Economic Activity, (1): 1-65.
    • (1988) Brookings Papers on Economic Activity , vol.1 , pp. 1-65
    • Ball, L.1    Mankiw, N.G.2    Romer, D.3
  • 5
    • 79959902213 scopus 로고    scopus 로고
    • Bank for international settlements Accessed at the Federal Reserve Board, June 16
    • Bank for International Settlements. Yields database compiled from contributing central banks. Accessed at the Federal Reserve Board, June 16 2009.
    • (2009) Yields Database Compiled from Contributing Central Banks.
  • 7
  • 8
    • 33747873710 scopus 로고    scopus 로고
    • International capital markets and foreign exchange risk
    • DOI 10.1093/rfs/hhj029
    • Brennan, Michael J., and Yihong Xia. 2006. "International Capital Markets and Foreign Exchange Risk." Review of Financial Studies, 19(3): 753-95. (Pubitemid 44290382)
    • (2006) Review of Financial Studies , vol.19 , Issue.3 , pp. 753-795
    • Brennan, M.J.1    Xia, Y.2
  • 12
    • 0041669393 scopus 로고    scopus 로고
    • Do bonds span the fixed income markets? Theory and evidence for unspanned stochastic volatility
    • Collin-Dufresne, Pierre, and Robert S. Goldstein. 2002. "Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility." Journal of Finance, 57(4): 1685-730. (Pubitemid 36932120)
    • (2002) Journal of Finance , vol.57 , Issue.4 , pp. 1685-1730
    • Collin-Dufresne, P.1    Goldstein, R.S.2
  • 13
    • 79959909819 scopus 로고
    • Survey forecasts for transcribed from hard copies
    • Consensus Forecasts. Survey forecasts for 1990-2009, transcribed from hard copies.
    • (1990) Consensus Forecasts
  • 14
    • 84977402535 scopus 로고
    • Differential inflationary expectations and the variability of the rate of Inflation: Theory and Evidence
    • Cukierman, Alex, and Paul Wachtel. 1979. "Differential Inflationary Expectations and the Variability of the Rate of Inflation: Theory and Evidence." American Economic Review, 69(4): 595-609.
    • (1979) American Economic Review , vol.69 , Issue.4 , pp. 595-609
    • Cukierman, A.1    Wachtel, P.2
  • 15
    • 0036221014 scopus 로고    scopus 로고
    • Expectation puzzles, time-varying risk premia, and affine models of the Term Structure
    • Dai, Qiang, and Kenneth J. Singleton. 2002. "Expectation Puzzles, Time-Varying Risk Premia, and Affine Models of the Term Structure." Journal of Financial Economics, 63(3): 415-41.
    • (2002) Journal of Financial Economics , vol.63 , Issue.3 , pp. 415-441
    • Dai, Q.1    Singleton, K.J.2
  • 16
    • 79959913982 scopus 로고    scopus 로고
    • Accessed at the Federal Reserve Board, June 16
    • Datastream. Thomson Financial. Accessed at the Federal Reserve Board, June 16 2009.
    • (2009) Datastream. Thomson Financial.
  • 17
    • 53649093475 scopus 로고    scopus 로고
    • Global yield curve dynamics and interactions: A dynamic nelson-Siegel Approach
    • Diebold, Francis X., Canlin Li, and Vivian Z. Yue. 2008. "Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach." Journal of Econometrics, 146(2): 351-63.
    • (2008) Journal of Econometrics , vol.146 , Issue.2 , pp. 351-363
    • Diebold, F.X.1    Li, C.2    Yue, V.Z.3
  • 19
    • 0034551268 scopus 로고    scopus 로고
    • A multivariate latent factor decomposition of international bond Yield Spreads
    • Dungey, Mardi, Vance L. Martin, and Adrian R. Pagan. 2000. "A Multivariate Latent Factor Decomposition of International Bond Yield Spreads." Journal of Applied Econometrics, 15(6): 697-715.
    • (2000) Journal of Applied Econometrics , vol.15 , Issue.6 , pp. 697-715
    • Dungey, M.1    Martin, V.L.2    Pagan, A.R.3
  • 20
    • 0000962629 scopus 로고
    • Nobel lecture: Inflation and unemployment
    • Friedman, Milton. 1977. "Nobel Lecture: Inflation and Unemployment." Journal of Political Economy, 85(3): 451-72.
    • (1977) Journal of Political Economy , vol.85 , Issue.3 , pp. 451-472
    • Friedman, M.1
  • 21
    • 70349233629 scopus 로고    scopus 로고
    • National Bureau of Economic Research Inc NBER Working Papers 13806
    • Greenwood, Robin, and Dimitri Vayanos. 2008. Bond Supply and Excess Bond Returns: National Bureau of Economic Research, Inc, NBER Working Papers: 13806, 2008.
    • (2008) Bond Supply and Excess Bond Returns , pp. 2008
    • Greenwood, R.1    Vayanos, D.2
  • 22
    • 78649703761 scopus 로고    scopus 로고
    • Does inflation targeting anchor long- run inflation expectations? Evidence from the US, Uk, and Sweden
    • Gürkaynak, Refet S., Andrew Levin, and Eric Swanson. 2010. "Does Inflation Targeting Anchor Long- Run Inflation Expectations? Evidence from the US, Uk, and Sweden." Journal of the European Economic Association, 8(6): 1208-42.
    • (2010) Journal of the European Economic Association , vol.8 , Issue.6 , pp. 1208-1242
    • Gürkaynak, R.S.1    Levin, A.2    Swanson, E.3
  • 23
    • 20444380401 scopus 로고    scopus 로고
    • The sensitivity of long-term interest rates to economic news: Evidence and Implications for Macroeconomic Models
    • Gürkaynak, Refet S., Brian Sack, and Eric Swanson. 2005. "The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models." American Economic Review, 95(1): 425-36.
    • (2005) American Economic Review , vol.95 , Issue.1 , pp. 425-346
    • Gürkaynak, R.S.1    Sack, B.2    Swanson, E.3
  • 24
    • 36048973867 scopus 로고    scopus 로고
    • The U.S. treasury yield curve: 1961 to the present: Dataset
    • Gürkaynak, Refet S., Brian Sack, and Jonathan H. Wright. 2007. "The U.S. Treasury Yield Curve: 1961 to the Present: Dataset." Journal of Monetary Economics, http://www.federalreserve.gov/econresdata/researchdata/ feds200628.xls
    • (2007) Journal of Monetary Economics
    • Gürkaynak, R.S.1    Sack, B.2    Wright, J.H.3
  • 27
    • 0006178565 scopus 로고    scopus 로고
    • Shifting endpoints in the term structure of interest rates
    • DOI 10.1016/S0304-3932(01)00054-X, PII S030439320100054X
    • Kozicki, Sharon, and P. A. Tinsley. 2001. "Shifting Endpoints in the Term Structure of Interest Rates." Journal of Monetary Economics, 47(3): 613-52. (Pubitemid 33619224)
    • (2001) Journal of Monetary Economics , vol.47 , Issue.3 , pp. 613-652
    • Kozicki, S.1    Tinsley, P.A.2
  • 30
    • 73449141437 scopus 로고    scopus 로고
    • Macro factors in bond risk premia
    • Ludvigson, Sydney C., and Serena Ng. 2009. "Macro Factors in Bond Risk Premia." Review of Financial Studies, 22(12): 5027-67.
    • (2009) Review of Financial Studies , vol.22 , Issue.12 , pp. 5027-5067
    • Ludvigson, S.C.1    Ng, S.2
  • 31
    • 21244501699 scopus 로고    scopus 로고
    • Disagreement about inflation expectations
    • eds. Gertler, Mark, and Kenneth Rogoff. Cambridge, MA MIT Press
    • Mankiw, N. Gregory, Ricardo Reis, and Justin Wolfers. 2004. "Disagreement about Inflation Expectations." In NBER Macroeconomics Annual 2003, eds. Gertler, Mark, and Kenneth Rogoff. Cambridge, MA: MIT Press.
    • (2003) NBER Macroeconomics Annual
    • Mankiw, N.G.1    Reis, R.2    Wolfers, J.3
  • 32
    • 84948909615 scopus 로고    scopus 로고
    • Organization for economic co-operation and development
    • Accessed July 28
    • Organization for Economic Co-operation and Development, Main Economic Indicators http://stats.oecd.org/mei/. Accessed July 28 2009.
    • (2009) Main Economic Indicators
  • 33
    • 34250831455 scopus 로고    scopus 로고
    • Equilibrium yield curves
    • ed. Daron Acemoglu, Kenneth Rogoff and Michael Woodford. Cambridge and London MIT Press
    • Piazzesi, Monika, and Martin Schneider. 2007. "Equilibrium Yield Curves." In NBER Macroeconomics Annual 2006, ed. Daron Acemoglu, Kenneth Rogoff and Michael Woodford, 389-442. Cambridge and London: MIT Press.
    • (2006) NBER Macroeconomics Annual , pp. 389-442
    • Piazzesi, M.1    Schneider, M.2
  • 35
    • 84986409654 scopus 로고
    • The relationship between forecast dispersion and forecast Uncertainty: Evidence from a survey data-arch model
    • Rich, R. W., J. E. Raymond, and J. S. Butler. 1992. "The Relationship between Forecast Dispersion and Forecast Uncertainty: Evidence from a Survey Data-Arch Model." Journal of Applied Econometrics, 7(2): 131-48.
    • (1992) Journal of Applied Econometrics , vol.7 , Issue.2 , pp. 131-148
    • Rich, R.W.1    Raymond, J.E.2    Butler, J.S.3
  • 39
    • 79959875306 scopus 로고    scopus 로고
    • Term premia and inflation uncertainty: Empirical evidence from an International Panel Dataset: Data
    • Wright, Jonathan H. 2011. "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Data." American Economic Review. http://www.aeaweb.org/articles.php?-doi10.1257/aer.101.4.1514.
    • (2011) American Economic Review
    • Wright, J.H.1
  • 40
    • 84934562816 scopus 로고
    • Consensus and uncertainty in economic prediction
    • Zarnowitz, Victor, and Louis A. Lambros. 1987. "Consensus and Uncertainty in Economic Prediction." Journal of Political Economy, 95(3): 591-621.
    • (1987) Journal of Political Economy , vol.95 , Issue.3 , pp. 591-621
    • Zarnowitz, V.1    Lambros, L.A.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.