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- W2051765720 abstract "Purpose – The purpose of this paper is to establish a link between inflation uncertainty and interest rates for five inflation‐targeting countries.Design/methodology/approach – The approach takes the form of a time‐varying parameter model with a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) specification, used to derive impulse uncertainty and structural uncertainty.Findings – This study attempts to establish a link between inflation uncertainty and interest rates for five inflation‐targeting countries, i.e. Canada, Finland, Spain, Sweden, and the UK. Decomposing inflation uncertainty into two components – impulse and structural, a positive association was found between the expected inflation and interest rates. Structural uncertainty has a positive and significant effect on interest rates for some countries. It has also been found that the long‐run effects of inflation on interest rates are less than unity for the post‐inflation targeting period, which implies that in some respect the..." @default.
- W2051765720 created "2016-06-24" @default.
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- W2051765720 date "2011-11-01" @default.
- W2051765720 modified "2023-09-25" @default.
- W2051765720 title "Has the link between inflation uncertainty and interest rates changed after inflation targeting?" @default.
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- W2051765720 doi "https://doi.org/10.1108/01443581111177358" @default.
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