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Is there a flight to quality due to inflation uncertainty?

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Author Info
Guler, Bulent
Ozlale, Umit

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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://mpra.ub.uni-muenchen.de/7929/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 7929.

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Date of creation: 18 Aug 2004
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Handle: RePEc:pra:mprapa:7929

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
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

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  1. 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. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
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