Logo
Munich Personal RePEc Archive

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

Jiranyakul, Komain (2020): The Linkages between Inflation and Inflation Uncertainty in Selected Asian Economies: Evidence from Quantile Regression.

[thumbnail of MPRA_paper_99868.pdf]
Preview
PDF
MPRA_paper_99868.pdf

Download (84kB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.