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      • Department of Economics
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      Is there a flight to quality due to inflation uncertainty?

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      Author(s)
      Guler, B.
      Ozlale, U.
      Date
      2005
      Source 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
      Article
      Item Usage Stats
      184
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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 effect
      Generalized 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
      Permalink
      http://hdl.handle.net/11693/24126
      Published Version (Please cite this version)
      http://dx.doi.org/10.1016/j.physa.2004.07.038
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