Is there a flight to quality due to inflation uncertainty?

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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Year of publication:	2004-08-18
Authors:	Guler, Bulent ; Ozlale, Umit
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C13 - Estimation ; C53 - Forecasting and Other Model Applications ; E31 - Price Level; Inflation; Deflation ; E44 - Financial Markets and the Macroeconomy
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005835846