Is there a flight to quality due to inflation uncertainty?
Date
2005Source Title
Physica A : Statistical Mechanics and its Applications
Print ISSN
0378-4371
Electronic ISSN
1873-2119
Publisher
Elsevier BV
Volume
345
Issue
3-4
Pages
603 - 607
Language
English
Type
ArticleItem Usage Stats
184
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236
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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. © 2004 Elsevier B.V. All rights reserved.
Keywords
Flight to quality effectGeneralized auto-regressive conditional heteroskedasticity
Kalman filter
Economic and social effects
Error analysis
Impulse testing
Kalman filtering
Parameter estimation
Risk management
Robustness (control systems)
Inflation risk premium
Time varying networks