Kiel Working Papers, Kiel Institute for World Economics
No 913:
Financial Market Volatility and Inflation Uncertainty - An Empirical Investigation. February 1999, 15 pp.
Jörg Döpke and Christian Pierdzioch
Abstract: Using monthly data for Germany from 1968 through 1998, the
relationship between fluctuations 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.
15 pages, February 1999
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