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The effect of different inflation risks on interest rates of the US

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dc.contributor.author Yüksel, E.
dc.contributor.author Akdi, Y.
dc.date.accessioned 2020-04-02T20:11:54Z
dc.date.available 2020-04-02T20:11:54Z
dc.date.issued 2009
dc.identifier.citation Yüksel, E.; Akdi, Y., "The effect of different inflation risks on interest rates of the US", Applied Economics Letters, Vol.16, No.2, pp.169-175, (2009). tr_TR
dc.identifier.issn 1350-4851
dc.identifier.uri http://hdl.handle.net/20.500.12416/2861
dc.description.abstract This article examines the effect of different inflation uncertainty measures on interest rates of the US in a Fisher hypothesis framework. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) specification with a time-dependent parameter model is used to obtain three types of inflation uncertainties, namely, impulse uncertainty, structural uncertainty and steady-state uncertainty. It has been observed that the impulse uncertainty has negative but the structural uncertainty has positive impact on both short-term and long-term interest rates. Both of these effects are statistically significant. The influence of steady-state uncertainty on interest rates is positive, but the level of significance depends on the inclusion of output gap. Without the inclusion of output gap, the effect is insignificant, whereas the effect becomes significant when output gap is introduced. tr_TR
dc.language.iso eng tr_TR
dc.publisher Routledge Journals tr_TR
dc.relation.isversionof 10.1080/13504850601018072 tr_TR
dc.rights info:eu-repo/semantics/closedAccess tr_TR
dc.subject Real Interest-Rates tr_TR
dc.subject Term Interest-Rates tr_TR
dc.subject Empirical-Analysis tr_TR
dc.subject Wage Indexation tr_TR
dc.subject Continuous-Time tr_TR
dc.subject Uncertainty tr_TR
dc.subject Growth tr_TR
dc.subject Link tr_TR
dc.subject Returns tr_TR
dc.subject Output tr_TR
dc.title The effect of different inflation risks on interest rates of the US tr_TR
dc.type article tr_TR
dc.relation.journal Applied Economics Letters tr_TR
dc.identifier.volume 16 tr_TR
dc.identifier.issue 2 tr_TR
dc.identifier.startpage 169 tr_TR
dc.identifier.endpage 175 tr_TR
dc.contributor.department Çankaya Üniversitesi, Mühendislik Fakültesi, Endüstri Mühendisliği Bölümü tr_TR


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