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Financial market volatility and inflation uncertainty: An empirical investigation

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  • Döpke, Jörg
  • Pierdzioch, Christian

Abstract

Using monthly data for Germany from 1968 through 1998, the relationship betweenfluctuations of prices in financial markets and inflation is analyzed. The results of Granger-causality tests reveal that stock market has no predictive power volatility for inflation uncertainty, et vice versa. Regarding the subsequent volatility of short-term and of long-term interest rate. In contrast, inflation uncertainty provides some information. The hypothesis of a causality running from the volatility of the real exchange rate to inflation uncertainty cannot be rejected.

Suggested Citation

  • Döpke, Jörg & Pierdzioch, Christian, 1999. "Financial market volatility and inflation uncertainty: An empirical investigation," Kiel Working Papers 913, Kiel Institute for the World Economy (IfW Kiel).
    • Handle: RePEc:zbw:ifwkwp:913
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    References listed on IDEAS

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    More about this item

    Keywords

    Inflation uncertainty; financial market volatility; GARCH models; Grangers-causality;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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