Is there a flight to quality due to inflation uncertainty?
Physica A : Statistical Mechanics and its Applications
603 - 607
Item Usage Stats
MetadataShow full item record
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.
KeywordsFlight to quality effect
Generalized auto-regressive conditional heteroskedasticity
Economic and social effects
Robustness (control systems)
Inflation risk premium
Time varying networks