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Is there a flight to quality due to inflation uncertainty?

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Author Info

  • Guler, Bulent
  • Ozlale, Umit

Abstract

After two types of inflation uncertainty are derived within a time-varying parameter model with GARCH specification, the relationship between inflation uncertainty and interest rates for safe assets is investigated. The results support the existence of a “flight to quality” effect.

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File URL: http://www.sciencedirect.com/science/article/pii/S037843710401060X
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Bibliographic Info

Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 345 (2005)
Issue (Month): 3 ()
Pages: 603-607

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Handle: RePEc:eee:phsmap:v:345:y:2005:i:3:p:603-607

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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

Related research

Keywords: Kalman filter; Generalized auto-regressive conditional heteroskedasticity; Flight to quality effect;

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References

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  1. Fama, Eugene F. & Gibbons, Michael R., 1982. "Inflation, real returns and capital investment," Journal of Monetary Economics, Elsevier, vol. 9(3), pages 297-323.
  2. Berument, Hakan, 1999. "The Impact of Inflation Uncertainty on Interest Rates in the UK," Scottish Journal of Political Economy, Scottish Economic Society, vol. 46(2), pages 207-18, May.
  3. Evans, Martin, 1991. "Discovering the Link between Inflation Rates and Inflation Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(2), pages 169-84, May.
  4. Chan, Louis K C, 1994. "Consumption, Inflation Risk, and Real Interest Rates: An Empirical Analysis," The Journal of Business, University of Chicago Press, vol. 67(1), pages 69-96, January.
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Cited by:
  1. Guglielmo Maria Caporale & Alexandros Kontonikas, 2006. "The Euro And Inflation Uncertainty In The European Monetary Union," Economics and Finance Discussion Papers 06-01, Economics and Finance Section, School of Social Sciences, Brunel University.

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