The impact of inflation uncertainty on interest rates in the UK

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buir.contributor.authorBerument, Hakan
dc.citation.epage218en_US
dc.citation.issueNumber2en_US
dc.citation.spage207en_US
dc.citation.volumeNumber46en_US
dc.contributor.authorBerument, Hakanen_US
dc.date.accessioned2016-02-08T10:42:30Z
dc.date.available2016-02-08T10:42:30Z
dc.date.issued1999en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis paper assesses the effect of expected inflation and inflation risk on interest rates within the Fisher hypothesis framework. Autoregressive Conditional Heteroscedastic models are used to estimate the conditional variability of inflation as a proxy for risk. With the UK quarterly data from 1958:4 to 1994:4, we found that both the expected inflation and the conditional variability of inflation positively affect the UK three-month Treasury-bill rate.en_US
dc.identifier.doi10.1111/1467-9485.00129en_US
dc.identifier.eissn1467-9485
dc.identifier.issn0036-9292
dc.identifier.urihttp://hdl.handle.net/11693/25301
dc.language.isoEnglishen_US
dc.publisherWiley-Blackwell Publishing Ltd.en_US
dc.relation.isversionofhttps://doi.org/10.1111/1467-9485.00129en_US
dc.source.titleScottish Journal of Political Economyen_US
dc.subjectFinancial marketen_US
dc.subjectInflationen_US
dc.subjectInterest rateen_US
dc.subjectUncertainty roleen_US
dc.subjectUnited Kingdomen_US
dc.titleThe impact of inflation uncertainty on interest rates in the UKen_US
dc.typeArticleen_US

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