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

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Abstract
The authors 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. They suggest that this process might arise from the response of heterogeneous agents to changes in monetary policy. Copyright 1993 by Ohio State University Press. (This abstract was borrowed from another version of this item.)

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