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      • Department of Economics
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      The impact of inflation uncertainty on interest rates in the UK

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      Author(s)
      Berument, Hakan
      Date
      1999
      Source Title
      Scottish Journal of Political Economy
      Print ISSN
      0036-9292
      Electronic ISSN
      1467-9485
      Publisher
      Wiley-Blackwell Publishing Ltd.
      Volume
      46
      Issue
      2
      Pages
      207 - 218
      Language
      English
      Type
      Article
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      Abstract
      This paper assesses the effect of expected inflation and inflation risk on interest rates within the Fisher hypothesis framework. Autoregressive Conditional Heteroscedastic models are used to estimate the conditional variability of inflation as a proxy for risk. With the UK quarterly data from 1958:4 to 1994:4, we found that both the expected inflation and the conditional variability of inflation positively affect the UK three-month Treasury-bill rate.
      Keywords
      Financial market
      Inflation
      Interest rate
      Uncertainty role
      United Kingdom
      Permalink
      http://hdl.handle.net/11693/25301
      Published Version (Please cite this version)
      https://doi.org/10.1111/1467-9485.00129
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      • Department of Economics 697
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