Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/47163
Authors: 
Döpke, Jörg
Pierdzioch, Christian
Year of Publication: 
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
Grangers-causality
JEL: 
E31
C32
Document Type: 
Working Paper

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