Evidence for 'Flight to Quality' hypothesis within an inflation uncertainty modelling

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buir.advisorÖzlale, Ümit
dc.contributor.authorGüler, Bülent
dc.date.accessioned2016-07-01T10:59:08Z
dc.date.available2016-07-01T10:59:08Z
dc.date.issued2003
dc.departmentDepartment of Economicsen_US
dc.descriptionCataloged from PDF version of article.en_US
dc.description.abstractThere is a great literature devoted to link between inflation uncertainty and interest rates. However, there are opposing findings about the relationship between inflation uncertainty and interest rates. Some of the studies find a positive correlation between them, while some of them find a negative correlation. In this paper, we analyzed the link between inflation uncertainty and spreads among riskier and safer bonds within a model of a timevarying parameter model with an ARCH specification. We divided inflation uncertainty into two parts, structural uncertainty and impulse uncertainty, as indicated in Evans (1991), firstly. We estimated the relationship between these types of uncertainties and spreads among riskier and safer bonds, using USA data. The results indicate us that both structural and impulse uncertainties have significant relationship with spreads between corporate bonds, the riskier bonds, and treasury bills, the safer bonds. Especially having a positive effect of impulse uncertainty on spreads shows an important evidence for ‘Flight to Quality’ hypothesis.en_US
dc.description.degreeM.A.en_US
dc.description.statementofresponsibilityGüler, Bülenten_US
dc.format.extentviii, 64 leaves, tablesen_US
dc.identifier.itemidBILKUTUPB072202
dc.identifier.urihttp://hdl.handle.net/11693/29406
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subject‘Flight to Quality’en_US
dc.subjectKalman Filteren_US
dc.subjectspreaden_US
dc.subjectimpulse uncertaintyen_US
dc.subjectstructural uncertaintyen_US
dc.subject.lccHG229 .G85 2003en_US
dc.subject.lcshInflation (Finance) Mathematical models.en_US
dc.titleEvidence for 'Flight to Quality' hypothesis within an inflation uncertainty modellingen_US
dc.typeThesisen_US
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