Is there a flight to quality due to inflation uncertainty?

Date

2005

Authors

Guler, B.
Ozlale, U.

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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.

Source Title

Physica A : Statistical Mechanics and its Applications

Publisher

Elsevier BV

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Published Version (Please cite this version)

Language

English