Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment
该评论指出，由于小样本偏差，基于仿射期限结构模型的最大似然估计得出的期限溢价具有误导性；修正偏差后，期限溢价呈现显著的反周期行为，这与风险溢价的理论和实证一致。
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 macroeconomic determinants of the term premia estimated in Wright (2011). His term premium estimates are essentially acyclical, and often just parallel the secular trend in longterm interest rates. In contrast, bias-corrected term premia show pronounced countercyclical behavior, consistent with theoretical and empirical arguments about movements in risk premia.