The effects of different inflation risk premiums on interest rate spreads
dc.citation.epage | 324 | en_US |
dc.citation.issueNumber | 1-4 | en_US |
dc.citation.spage | 317 | en_US |
dc.citation.volumeNumber | 333 | en_US |
dc.contributor.author | Berument, Hakan | en_US |
dc.contributor.author | Kilinc, Z. | en_US |
dc.contributor.author | Ozlale, U. | en_US |
dc.contributor.bilkentauthor | Berument, Hakan | |
dc.date.accessioned | 2016-02-08T10:27:30Z | |
dc.date.available | 2016-02-08T10:27:30Z | |
dc.date.issued | 2004 | en_US |
dc.department | Department of Economics | en_US |
dc.description.abstract | This 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.doi | 10.1016/j.physa.2003.10.039 | en_US |
dc.identifier.eissn | 1873-2119 | |
dc.identifier.issn | 0378-4371 | |
dc.identifier.uri | http://hdl.handle.net/11693/24318 | |
dc.language.iso | English | en_US |
dc.publisher | Elsevier BV | en_US |
dc.relation.isversionof | http://dx.doi.org/10.1016/j.physa.2003.10.039 | en_US |
dc.source.title | Physica A : Statistical Mechanics and its Applications | en_US |
dc.subject | GARCH | en_US |
dc.subject | Inflation uncertainty | en_US |
dc.subject | Interest rates | en_US |
dc.subject | Kalman filter | en_US |
dc.subject | Investments | en_US |
dc.subject | Kalman filtering | en_US |
dc.subject | Public policy | en_US |
dc.subject | Risk assessment | en_US |
dc.subject | Time varying systems | en_US |
dc.subject | Industrial economics | en_US |
dc.title | The effects of different inflation risk premiums on interest rate spreads | en_US |
dc.type | Article | en_US |
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