The Linkages between Inflation and Inflation Uncertainty in Selected Asian Economies: Evidence from Quantile Regression
10 Pages Posted: 1 Jun 2020 Last revised: 27 Oct 2020
Date Written: October 27, 2020
Abstract
Using monthly data from 1979M1 to 2019M12, this paper employs the AR(p)-EGARCH model and quantile regression to examine the linkages between inflation and inflation uncertainty in nine Asian countries. The results show that inflation positively causes inflation uncertainty in all economies regardless of whether economies are inflation or non-inflation targeting. The Friedman-Ball hypothesis is thus supported. In addition, inflation uncertainty positively causes inflation in most economies. Therefore, the Cukierman-Meltzer hypothesis is likely to be supported. The findings signal the possibility of the real cost of inflation for these Asian economies.
Keywords: Inflation, inflation uncertainty, GARCH, quantile regression, Asian economies
JEL Classification: C22, E31
Suggested Citation: Suggested Citation