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.

MoreLess

Year of publication:	2004-08-18
Authors:	Guler, Bulent ; Ozlale, Umit

More details

Type of publication:	Book / Working Paper
Language:	English
Notes:	Guler, Bulent and Ozlale, Umit (2004): Is there a flight to quality due to inflation uncertainty? Published in: Physica A , Vol. 345, (2005): pp. 603-607.
Classification:	C13 - Estimation ; C53 - Forecasting and Other Model Applications ; E31 - Price Level; Inflation; Deflation ; E44 - Financial Markets and the Macroeconomy
Source:	BASE

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015256144