The impact of inflation uncertainty on interest rates
The impact of inflation uncertainty on interest rates
In this paper, the impact of inflation uncertainty on interest rates is investigated for the case of the U.S. three-month Treasury bill rate. We emphasize how consistent
OLS estimation can be applied to an empirical equation which includes a proxy variable of inflation uncertainty measured by an ARCH-type model. A significant negative relationship between the two variables is provided. This evidence is contrasted with the view of the inflation risk premium in which inflation uncertainty positively affects the nominal interest rate.
Cheong, Chongcheul
492b2812-15eb-4a7a-a46e-38b7566dd378
Kim, Gi-Hong
29ef1ff0-494e-48c0-ad14-b02ade656bd1
Podivinsky, Jan M.
68b5a6e8-9d09-4a3e-97b2-4a9e4f1efbb9
Cheong, Chongcheul
492b2812-15eb-4a7a-a46e-38b7566dd378
Kim, Gi-Hong
29ef1ff0-494e-48c0-ad14-b02ade656bd1
Podivinsky, Jan M.
68b5a6e8-9d09-4a3e-97b2-4a9e4f1efbb9
Cheong, Chongcheul, Kim, Gi-Hong and Podivinsky, Jan M.
(2010)
The impact of inflation uncertainty on interest rates.
African Econometric Society 15th Annual Conference, Cairo, Egypt.
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Conference or Workshop Item
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Abstract
In this paper, the impact of inflation uncertainty on interest rates is investigated for the case of the U.S. three-month Treasury bill rate. We emphasize how consistent
OLS estimation can be applied to an empirical equation which includes a proxy variable of inflation uncertainty measured by an ARCH-type model. A significant negative relationship between the two variables is provided. This evidence is contrasted with the view of the inflation risk premium in which inflation uncertainty positively affects the nominal interest rate.
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TheImpactOfInflationUncertainty_May11.pdf
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e-pub ahead of print date: 7 July 2010
Venue - Dates:
African Econometric Society 15th Annual Conference, Cairo, Egypt, 2010-07-07
Identifiers
Local EPrints ID: 155533
URI: http://eprints.soton.ac.uk/id/eprint/155533
PURE UUID: 719ef357-91f1-4451-8296-b81e4ef76c6d
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Date deposited: 28 May 2010 08:41
Last modified: 14 Mar 2024 02:32
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Contributors
Author:
Chongcheul Cheong
Author:
Gi-Hong Kim
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