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The Linkages between Inflation and Inflation Uncertainty in Selected Asian Economies: Evidence from Quantile Regression

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  • Jiranyakul, Komain

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 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 economies.

Suggested Citation

  • Jiranyakul, Komain, 2020. "The Linkages between Inflation and Inflation Uncertainty in Selected Asian Economies: Evidence from Quantile Regression," MPRA Paper 99868, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:99868
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    References listed on IDEAS

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    1. Chevaughn van der Westhuizen & Renee van Eyden & Goodness C. Aye, 2022. "Is Inflation Uncertainty a Self-Fulfilling Prophecy? The Inflation-Inflation Uncertainty Nexus and Inflation Targeting in South Africa," Working Papers 202254, University of Pretoria, Department of Economics.
    2. Haryo Kuncoro, 2024. "Inflation and Its Uncertainty: Evidence from Indonesia and the Philippines," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 16(2), pages 231-247, May.
    3. Abdul Qahar KHATIR & Burcu GÜVENEKAuthor-Name: Fatih MANGIR, 2021. "The Relationship between Inflation and Inflation Uncertainty: Empirical Evidence from Turkey," Journal of Academic Value Studies, Journal of Academic Value Studies, vol. 6(4), pages 331-340, Month: Fe.
    4. Chevaughn van der Westhuizen & Reneé van Eyden & Goodness C. Aye, 2023. "Is inflation uncertainty a self‐fulfilling prophecy in South Africa?," South African Journal of Economics, Economic Society of South Africa, vol. 91(3), pages 306-329, September.

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    More about this item

    Keywords

    Inflation; inflation uncertainty; GARCH; quantile regression; Asian economies;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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