The University of Southampton
University of Southampton Institutional Repository

The impact of inflation uncertainty on interest rates

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, Egypt.

Record type: Conference or Workshop Item (Paper)

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.

PDF
TheImpactOfInflationUncertainty_May11.pdf - Other
Download (164kB)

More information

e-pub ahead of print date: 7 July 2010
Venue - Dates: African Econometric Society 15th Annual Conference, Egypt, 2010-07-07

Identifiers

Local EPrints ID: 155533
URI: https://eprints.soton.ac.uk/id/eprint/155533
PURE UUID: 719ef357-91f1-4451-8296-b81e4ef76c6d
ORCID for Jan M. Podivinsky: ORCID iD orcid.org/0000-0002-4921-1189

Catalogue record

Date deposited: 28 May 2010 08:41
Last modified: 24 May 2019 00:40

Export record

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of https://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×