Berument, Hakan; Kilinc, Zubeyir; Ozlale, Umit - In: Physica A: Statistical Mechanics and its Applications 333 (2004) C, pp. 317-324
This paper analyzes how the different types of inflation uncertainty affect a set of interest rate spreads for the UK. Three types of inflation uncertainty—structural uncertainty, impulse uncertainty, and steady-state inflation uncertainty—are defined and derived by using a time-varying...