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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Abstract
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? |
| Language: | English |
| 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 |
| Item ID: | 7929 |
| Depositing User: | Bulent Guler |
| Date Deposited: | 26 Mar 2008 07:55 |
| Last Modified: | 26 Sep 2019 15:53 |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/7929 |
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