Financial market volatility and inflation uncertainty: An empirical investigation

Jörg Döpke and Christian Pierdzioch

No 913, Kiel Working Papers from Kiel Institute for the World Economy

Abstract: Using monthly data for Germany from 1968 through 1998, the relationship betweenfluctuations of prices in financial markets and inflation is analyzed. The results of Granger-causality tests reveal that stock market has no predictive power volatility for inflation uncertainty, et vice versa. Regarding the subsequent volatility of short-term and of long-term interest rate. In contrast, inflation uncertainty provides some information. The hypothesis of a causality running from the volatility of the real exchange rate to inflation uncertainty cannot be rejected.

Keywords: Inflation uncertainty; financial market volatility; GARCH models; Grangers-causality (search for similar items in EconPapers)
JEL-codes: C32 E31 (search for similar items in EconPapers)
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwkwp:913

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