LONG-MEMORY INFLATION UNCERTAINTY - EVIDENCE FROM THE TERM STRUCTURE OF INTEREST-RATES

被引:88
作者
BACKUS, DK [1 ]
ZIN, SE [1 ]
机构
[1] CARNEGIE MELLON UNIV,GRAD SCH IND ADM,PITTSBURGH,PA 15213
关键词
D O I
10.2307/2077735
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:681 / 700
页数:20
相关论文
共 20 条
[1]   RISK PREMIUMS IN THE TERM STRUCTURE - EVIDENCE FROM ARTIFICIAL ECONOMIES [J].
BACKUS, DK ;
GREGORY, AW ;
ZIN, SE .
JOURNAL OF MONETARY ECONOMICS, 1989, 24 (03) :371-399
[2]  
BERNANKE BS, 1992, AM ECON REV, V82, P901
[3]   AN EQUILIBRIUM-MODEL OF BOND PRICING AND A TEST OF MARKET-EFFICIENCY [J].
BRENNAN, MJ ;
SCHWARTZ, ES .
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1982, 17 (03) :301-329
[4]   BOND AND STOCK RETURNS IN A SIMPLE EXCHANGE MODEL [J].
CAMPBELL, JY .
QUARTERLY JOURNAL OF ECONOMICS, 1986, 101 (04) :785-803
[5]   A THEORY OF THE TERM STRUCTURE OF INTEREST-RATES [J].
COX, JC ;
INGERSOLL, JE ;
ROSS, SA .
ECONOMETRICA, 1985, 53 (02) :385-407
[6]  
DENHAAN W, 1990, THESIS CARNEGIE MELL
[7]   TERM STRUCTURE OF INTEREST-RATES [J].
DOTHAN, LU .
JOURNAL OF FINANCIAL ECONOMICS, 1978, 6 (01) :59-69
[8]  
DYBVIG P, 1987, UNPUB DO INTEREST RA
[9]   THE TERM STRUCTURE AS A PREDICTOR OF REAL ECONOMIC-ACTIVITY [J].
ESTRELLA, A ;
HARDOUVELIS, GA .
JOURNAL OF FINANCE, 1991, 46 (02) :555-576
[10]  
EVANS M, 1993, J MONEY CREDIT BANKI, V25