Is there a flight to quality due to inflation uncertainty?

Date
2005
Authors
Guler, B.
Ozlale, U.
Advisor
Instructor
Source Title
Physica A : Statistical Mechanics and its Applications
Print ISSN
0378-4371
Electronic ISSN
1873-2119
Publisher
Elsevier BV
Volume
345
Issue
3-4
Pages
603 - 607
Language
English
Type
Article
Journal Title
Journal ISSN
Volume Title
Abstract

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.

Course
Other identifiers
Book Title
Keywords
Flight to quality effect, Generalized auto-regressive conditional heteroskedasticity, Kalman filter, Economic and social effects, Error analysis, Impulse testing, Kalman filtering, Parameter estimation, Risk management, Robustness (control systems), Inflation risk premium, Time varying networks
Citation
Published Version (Please cite this version)