publication . Conference object . 2010

The impact of inflation uncertainty on interest rates

Cheong, Chongcheul; Kim, Gi-Hong; Podivinsky, Jan M.;
Open Access English
  • Published: 07 Jul 2010
  • Country: United States
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<br/>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.
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Conference object . 2010
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