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:	2005
Authors:	Guler, Bulent ; Ozlale, Umit
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 345.2005, 3, p. 603-607
Publisher:	Elsevier
Subject:	Kalman filter \| Generalized auto-regressive conditional heteroskedasticity \| Flight to quality effect

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011060963