Is there a flight to quality due to inflation uncertainty?

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Is there a flight to quality due to inflation uncertainty.pdf (167.5 KB)

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

Type

Article

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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

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Permalink

http://hdl.handle.net/11693/24126

Published Version (Please cite this version)

http://dx.doi.org/10.1016/j.physa.2004.07.038

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Scholarly Publications - Economics