Is there a flight to quality due to inflation uncertainty?

Bulent Guler and Umit Ozlale

MPRA Paper from University Library of Munich, Germany

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.

JEL-codes: C13 C53 E31 E44 (search for similar items in EconPapers)
Date: 2004-08-18
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https://mpra.ub.uni-muenchen.de/7929/1/MPRA_paper_7929.pdf original version (application/pdf)

Related works:
Journal Article: Is there a flight to quality due to inflation uncertainty? (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:7929

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