Posted: 30 May 2006
This paper examines the relationship between inflation and inflation uncertainty for both developed and emerging countries. We find new evidence that suggests positive inflationary shocks have stronger impacts on inflation uncertainty for mainly Latin American countries.
Keywords: Inflation uncertainty, asymmetric power GARCH, granger causality
JEL Classification: C22, E31
Suggested Citation: Suggested Citation
Daal, Elton and Naka, Atsuyuki and Sanchez, Benito, Re-examining Inflation and Inflation Uncertainty in Developed and Emerging Countries. Economics Letters, Vol. 88, No. 3, pp. 295-438, September 2005. Available at SSRN: https://ssrn.com/abstract=905098