TY  - JOUR
AU  - Backus,David K.
AU  - Zin,Stanley E.
TI  - Long-memory Inflation Uncertainty:  Evidence from the Term Structure of Interest Rates
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 133
PY  - 1993
Y2  - March 1993
UR  - http://www.nber.org/papers/t0133
L1  - http://www.nber.org/papers/t0133.pdf
N1  - Author contact info:
David Backus
Stern School of Business
NYU
44 West 4th Street
New York, NY 10012-1126
Tel: 212/998-0873
Fax: 212/995-4221
E-Mail: dbackus@stern.nyu.edu

Stanley E. Zin
Department of Economics
Leonard N. Stern School of Business
New York University
44 West 4th Street, Suite 7-91
New York, NY 10012-1126
Tel: 212/998-0121
E-Mail: stan.zin@nyu.edu
AB  - 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.
ER  -