Long-memory Inflation Uncertainty : Evidence from the Term Structure of Interest Rates

David K. Backus, Stanley E. Zin

We use a fractional difference model to reconcile two features of yields on US government bonds with modem asset pricing theory: the persistence of the short rate and variability of the long end of the yield curve. We suggest that this process might arise from the response of the heterogeneous agents to the changes in monetary policy

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Year of publication:	March 1993
Authors:	Backus, David K.
Other Persons:	Zin, Stanley E. (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Zinsstruktur \| Yield curve \| Theorie \| Theory \| Inflationserwartung \| Inflation expectations \| Inflation \| Zeitreihenanalyse \| Time series analysis \| CAPM

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Extent:	1 Online-Ressource
Series:	NBER technical working paper series ; no. t0133
Type of publication:	Book / Working Paper
Language:	English
Notes:	Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers.
Other identifiers:	10.3386/t0133 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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