Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset
利用十个工业化国家近二十年的零息政府债券收益率数据，通过两种方法分解远期利率，发现期限溢价在全球范围内下降，尤其在通过货币政策框架改革降低通胀不确定性的国家更为显著。
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.