Conference Paper
Long-memory inflation uncertainty: evidence from the term structure of interest rates
Backus, David K.; Zin, Stanley E. (1993)
Proceedings

Journal Article
Arbitrage-free bond pricing with dynamic macroeconomic models
Hollifield, Burton; Zin, Stanley E.; Gallmeyer, Michael F.; Palomino, Francisco J. (2007-07)
The authors examine the relationship between changes in short-term interest rates induced by monetary policy and the yields on long-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are puzzling from the perspective of simple structural macroeconomic models. The authors explore whether richer models of risk premiums, specifically stochastic volatility models combined with Epstein-Zin recursive utility, can account for such patterns. They study the properties of the yield curve when inflation is an exogenous process and ...
Review , Volume 89 , Issue Jul , Pages 305-326