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Analysis of the US nominal term structure data from 1953 to 2006 shows that agents dislike high uncertainty and demand compensation for volatility risks. Also, the time variation of the term premium is driven by the compensation for inflation volatility risk, which is distinct from consumption volatility risk. The central role of inflation volatility risk in explaining the time\u2010varying term premium is consistent with other empirical evidence including survey data. In contrast, the existing long\u2010run risks literature emphasizes consumption volatility risk and ignores inflation\u2010specific time\u2010varying volatility. The estimation results of this paper suggest that inflation\u2010specific volatility risk is essential for fitting the time series of the US nominal term structure data. Copyright \u00a9 2012 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2266","type":"journal-article","created":{"date-parts":[[2012,3,8]],"date-time":"2012-03-08T09:31:50Z","timestamp":1331199110000},"page":"478-497","source":"Crossref","is-referenced-by-count":14,"title":["LONG\u2010RUN RISKS IN THE TERM STRUCTURE OF INTEREST RATES: ESTIMATION"],"prefix":"10.1002","volume":"28","author":[{"given":"Taeyoung","family":"Doh","sequence":"first","affiliation":[{"name":"Economic Research Department Federal Reserve Bank of Kansas City  MO USA"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2012,3,8]]},"reference":[{"key":"e_1_2_9_2_1","unstructured":"BansalR ShaliastovichI.2010.A long\u2010run risks explanation of predictability puzzles in bond and currency markets. 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