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

33 Pages Posted: 27 Jun 2007

See all articles by David K. Backus

David K. Backus

NYU Stern School of Business; National Bureau of Economic Research (NBER)

Stanley E. Zin

Carnegie Mellon University; National Bureau of Economic Research (NBER)

Date Written: March 1993

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.

Suggested Citation

Backus, David K. and Zin, Stanley E., Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates (March 1993). NBER Working Paper No. t0133. Available at SSRN: https://ssrn.com/abstract=995463

David K. Backus (Contact Author)

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HOME PAGE: http://pages.stern.nyu.edu/~dbackus/

Stanley E. Zin

Carnegie Mellon University ( email )

Pittsburgh, PA 15213-3890
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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