Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates
收藏NBER1993-03-01 更新2025-01-04 收录
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https://www.nber.org/papers/t0133
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资源简介：
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
提供机构：
美国国家经济研究局创建时间：
1993-03-01
