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Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates / David K. Backus, Stanley E. Zin.
- Format:
- Book
- Author/Creator:
- Backus, David K.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0133.
- NBER technical working paper series no. t0133
- Language:
- English
- Subjects (All):
- Government securities.
- Interest rates.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Long-memory Inflation Uncertainty
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1993.
- Cambridge, Massachusetts : National Bureau of Economic Research, 1993.
- Summary:
- 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.
- Notes:
- Print version record
- March 1993.
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