The effects of different inflation risk premiums on interest rate spreads

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buir.contributor.authorBerument, Hakan
dc.citation.epage324en_US
dc.citation.issueNumber1-4en_US
dc.citation.spage317en_US
dc.citation.volumeNumber333en_US
dc.contributor.authorBerument, Hakanen_US
dc.contributor.authorKilinc, Z.en_US
dc.contributor.authorOzlale, U.en_US
dc.date.accessioned2016-02-08T10:27:30Z
dc.date.available2016-02-08T10:27:30Z
dc.date.issued2004en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis paper analyzes how the different types of inflation uncertainty affect a set of interest rate spreads for the UK. Three types of inflation uncertainty - structural uncertainty, impulse uncertainty, and steady-state inflation uncertainty - are defined and derived by using a time-varying parameter model with a GARCH specification. It is found that both the structural and steady-state inflation uncertainties increase interest rate spreads, while the empirical evidence for the impulse uncertainty is not conclusive. © 2003 Elsevier B.V. All rights reserved.en_US
dc.identifier.doi10.1016/j.physa.2003.10.039en_US
dc.identifier.eissn1873-2119
dc.identifier.issn0378-4371
dc.identifier.urihttp://hdl.handle.net/11693/24318
dc.language.isoEnglishen_US
dc.publisherElsevier BVen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.physa.2003.10.039en_US
dc.source.titlePhysica A : Statistical Mechanics and its Applicationsen_US
dc.subjectGARCHen_US
dc.subjectInflation uncertaintyen_US
dc.subjectInterest ratesen_US
dc.subjectKalman filteren_US
dc.subjectInvestmentsen_US
dc.subjectKalman filteringen_US
dc.subjectPublic policyen_US
dc.subjectRisk assessmenten_US
dc.subjectTime varying systemsen_US
dc.subjectIndustrial economicsen_US
dc.titleThe effects of different inflation risk premiums on interest rate spreadsen_US
dc.typeArticleen_US

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