Tham khảo tài liệu 'fundamentals of stochastic filtering with applications_2', kinh tế - quản lý, kinh tế học phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | 78 Stochastic Filtering with Applications in Finance Hayford 2000 Fountas et al. 2002 and Grier et al. 2004 found a similar negative relationship between inflation uncertainty and output growth while Levin and Renelt 1992 Levin and Zervos 1993 and Clark 1997 failed to provide evidence of any such relationship. The aim in the study of this chapter is to explore the relationship between inflation uncertainty and interest rates. Interest rates and price are important variables in the macro-economy and are often monitored by the policymakers especially for the IT purposes. The relationship between these variables has been subject to substantial research. Wilcox 1983 Uribe 2002 Berument and Jelassi 2002 Fahmy and Kandil 2002 and Kandil 2005 focused on the relationship between prices and interest rates. In general inflation uncertainty affects the economy by increasing long term interest rates. Ball and Tchaidze 2002 on page 108 said that A large literature argues that monetary policy under Alan Greenspan is well explained by simple reaction function. Interest rates rise when inflation rises and fall when there is a greater economic The relationship between interest rates and inflation risk is first mentioned by Fisher. Fishers Hypothesis suggests that interest rates and inflation or expected inflation are positively related to each other. There are different opinions regarding this type of relationship. Boudoukh and Richardson 1993 argue that this positive relationship exists at all horizon length. Mishkin 1992 found a long run relationship for USA in the long run but failed to establish the Fisher relationship in the short run. Yuhn 1996 found stronger Fisher effect over long horizons for GermanyBerument et al. 2005 studied the relationship between three different types of inflation uncertainty with the interest rates of the UK before and after the inflation targeting period and supports the notion of inflation targeting regimes. In this analysis we extended the
