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Inflation and inflation uncertainty: The case of Cambodia, Lao PDR, and Vietnam

Bora Buth, Makoto Kakinaka and Hiroaki Miyamoto

Journal of Asian Economics, 2015, vol. 38, issue C, 31-43

Abstract: This paper studies the relationship between inflation and inflation uncertainty in Cambodia, Lao PDR, and Vietnam. Inflation uncertainty is estimated as the conditional variance in a family of generalized autoregressive heteroskedasticity (GARCH) models. This paper finds that inflation causes inflation uncertainty in these countries, which supports the argument of Friedman (1977). Moreover, the analysis demonstrates that inflation uncertainty causes inflation only in Lao PDR, which implies that Cukierman and Meltzer's (1986) argument can be supported in Lao PDR. This paper also investigates how inflation in the United States is related to inflation and inflation uncertainty in Indochina countries. The result shows that inflation positively responds to US inflation only in Cambodia.

Keywords: Inflation uncertainty; GARCH models; Indochina economies (search for similar items in EconPapers)
JEL-codes: C22 E31 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:38:y:2015:i:c:p:31-43

DOI: 10.1016/j.asieco.2015.03.004

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