High and Uncertain Inflation: Results from a New Data Set

George Keith Davis () and Bryce Kanago ()

Journal of Money, Credit and Banking, 1998, vol. 30, issue 2, pages 218-30

Abstract: The authors use a data set of inflation expectations that covers twenty years and forty-four countries to investigate the relationship between the level and uncertainty of inflation. While there is strong and robust evidence of a relationship between average inflation and average uncertainty across countries, there is little evidence in their data for a within country relationship. In particular, very few of the countries in the sample exhibit a relationship between lagged inflation and future uncertainty. This result holds even when the authors use a bootstrapping technique that is robust to small sample size and heteroscedasticity.

Date: 1998
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Persistent link: http://EconPapers.repec.org/RePEc:mcb:jmoncb:v:30:y:1998:i:2:p:218-30

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