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dc.contributor.authorBerument, Hakanen_US
dc.contributor.authorKilinc, Z.en_US
dc.contributor.authorOzlale, U.en_US
dc.date.accessioned2016-02-08T10:23:33Z
dc.date.available2016-02-08T10:23:33Z
dc.date.issued2005en_US
dc.identifier.issn0036-9292
dc.identifier.urihttp://hdl.handle.net/11693/24066
dc.description.abstractIn the literature, there is no consensus about the direction of the effects of inflation uncertainty on interest rates. This paper states that such a result may stem from differentiation in the sources of the uncertainties and analyzes the effects of different types of inflation uncertainties on a set of interest rates for the UK within an interest rate rule framework. Three types of inflation uncertainties - impulse uncertainty, structural uncertainty and steady-state uncertainty - are derived by using a time-varying parameter model with a Generalized Autoregressive Conditional Heteroskedasticity specification. It is shown that the impulse uncertainty is positively and the structural uncertainty is negatively correlated with the interest rates. Moreover, these two uncertainties are important to explain short-term interest rates for the period of inflation targeting era. However, this time, the impulse uncertainty is negatively and the structural uncertainty is positively correlated with the overnight interbank interest rates, which is consistent with the general characteristic of the inflation targeting regimes. Lastly, the evidence concerning the effect of the steady-state inflation uncertainty on interest rates is not conclusive. © Scottish Economic Society 2005.en_US
dc.language.isoEnglishen_US
dc.source.titleScottish Journal of Political Economyen_US
dc.relation.isversionofhttp://dx.doi.org/10.1111/j.0036-9292.2005.00342.xen_US
dc.subjectBankingen_US
dc.subjectFinancial marketen_US
dc.subjectInflationen_US
dc.subjectInterest rateen_US
dc.subjectEastern Hemisphereen_US
dc.subjectEurasiaen_US
dc.subjectEuropeen_US
dc.subjectUnited Kingdomen_US
dc.subjectWestern Europeen_US
dc.subjectWorlden_US
dc.titleThe missing link between inflation uncertainty and interest ratesen_US
dc.typeArticleen_US
dc.departmentDepartment of Economicsen_US
dc.citation.spage222en_US
dc.citation.epage241en_US
dc.citation.volumeNumber52en_US
dc.citation.issueNumber2en_US
dc.identifier.doi10.1111/j.0036-9292.2005.00342.xen_US
dc.publisherWiley-Blackwell Publishing Ltd.en_US
dc.contributor.bilkentauthorBerument, Hakan
dc.identifier.eissn1467-9485


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