EconStor >
Institut für Weltwirtschaft (IfW), Kiel >
Kieler Arbeitspapiere, IfW >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/47163
  
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
Grangers-causality
JEL:E31
C32
Document Type:Working Paper
Appears in Collections:Kieler Arbeitspapiere, IfW
Publikationen von Forscherinnen und Forschern des IfW

Files in This Item:
File Description SizeFormat
265646707.pdf564.04 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/47163

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.