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Title:Financial market volatility and inflation uncertainty: An empirical investigation PDF Logo
Authors:Döpke, Jörg
Pierdzioch, Christian
Issue Date:1999
Series/Report no.:Kiel Working Papers 913
Abstract:Using monthly data for Germany from 1968 through 1998, the relationship betweenfluctuations of prices in financial markets and inflation is analyzed. The results of Granger-causality tests reveal that stock market has no predictive power volatility for inflation uncertainty, et vice versa. Regarding the subsequent volatility of short-term and of long-term interest rate. In contrast, inflation uncertainty provides some information. The hypothesis of a causality running from the volatility of the real exchange rate to inflation uncertainty cannot be rejected.
Subjects:Inflation uncertainty
financial market volatility
GARCH models
Document Type:Working Paper
Appears in Collections:Kieler Arbeitspapiere, IfW
Publikationen von Forscherinnen und Forschern des IfW

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