Is there a flight to quality due to inflation uncertainty?

Bulent Guler and Umit Ozlale

Physica A: Statistical Mechanics and its Applications, 2005, vol. 345, issue 3, 603-607

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.

Keywords: Kalman filter; Generalized auto-regressive conditional heteroskedasticity; Flight to quality effect (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:345:y:2005:i:3:p:603-607

DOI: 10.1016/j.physa.2004.07.038

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