Is there a flight to quality due to inflation uncertainty?
AbstractAfter 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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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 345 (2005)
Issue (Month): 3 ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Kalman filter; Generalized auto-regressive conditional heteroskedasticity; Flight to quality effect;
Other versions of this item:
- Guler, Bulent & Ozlale, Umit, 2004. "Is there a flight to quality due to inflation uncertainty?," MPRA Paper 7929, University Library of Munich, Germany.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fama, Eugene F. & Gibbons, Michael R., 1982. "Inflation, real returns and capital investment," Journal of Monetary Economics, Elsevier, vol. 9(3), pages 297-323.
- 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.
- 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.
- 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.
- Caporale, Guglielmo Maria & Kontonikas, Alexandros, 2009. "The Euro and inflation uncertainty in the European Monetary Union," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 954-971, October.
- Guglielmo Maria Caporale & Alexandros Kontonikas, 2006. "The Euro and Inflation Uncertainty in the European Monetary Union," CESifo Working Paper Series 1842, CESifo Group Munich.
- Guglielmo Maria, Caporale & Alexandros , Kontonikas, 2007. "The Euro and Inflation Uncertainty in the European Monetary Union," CELPE Discussion Papers 101, CELPE - Centre of Labour Economics and Economic Policy, University of Salerno, Italy.
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