Long-memory inflation uncertainty: evidence from the term structure of interest rates. (includes related article commenting on the research)(Inflation ... from: Journal of Money, Credit & Banking

This digital document is an article from Journal of Money, Credit & Banking, published by Ohio State University Press on August 1, 1993. The length of the article is 5620 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

From the supplier: We use a fractional difference model to reconcile two features of yields on U.S. government bonds with modern asset pricing theory: the persistence of the short rate and the variability of the long end of the yield curve. We suggest that this process might arise from the response of heterogeneous agents to changes in monetary policy. (Printed by permission of the publisher.)

Citation Details
Title: Long-memory inflation uncertainty: evidence from the term structure of interest rates. (includes related article commenting on the research)(Inflation Uncertainty)
Author: David K. Backus
Publication:Journal of Money, Credit & Banking (Refereed)
Date: August 1, 1993
Publisher: Ohio State University Press
Volume: v25 Issue: n3 Page: p681(28)

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