Berument, HakanKilinc, Z.Ozlale, U.2016-02-082016-02-0820040378-4371http://hdl.handle.net/11693/24318This paper analyzes how the different types of inflation uncertainty affect a set of interest rate spreads for the UK. Three types of inflation uncertainty - structural uncertainty, impulse uncertainty, and steady-state inflation uncertainty - are defined and derived by using a time-varying parameter model with a GARCH specification. It is found that both the structural and steady-state inflation uncertainties increase interest rate spreads, while the empirical evidence for the impulse uncertainty is not conclusive. © 2003 Elsevier B.V. All rights reserved.EnglishGARCHInflation uncertaintyInterest ratesKalman filterInvestmentsKalman filteringPublic policyRisk assessmentTime varying systemsIndustrial economicsArticle10.1016/j.physa.2003.10.0391873-2119