Is there a flight to quality due to inflation uncertainty?
Date
2005
Authors
Guler, B.
Ozlale, U.
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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
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Journal Title
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Volume Title
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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.
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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