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