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.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Is there a flight to quality due to inflation uncertainty?|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level ; Inflation ; Deflation
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy
|Depositing User:||Bulent Guler|
|Date Deposited:||26. Mar 2008 07:55|
|Last Modified:||16. Feb 2013 01:12|