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

David Backus and Stanley Zin

No 133, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

Date: 1993-03
Note: AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (109)

Published as Journal of Money, Credit and Banking, 25 (August 1993, Part 2) pp681-700.

Downloads: (external link)
http://www.nber.org/papers/t0133.pdf (application/pdf)

Related works:
Journal Article: Long-memory inflation uncertainty: evidence from the term structure of interest rates (1993)
Journal Article: Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates (1993)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberte:0133

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/t0133

Access Statistics for this paper

More papers in NBER Technical Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().