The Level and Uncertainty of Inflation: Results from OECD Forecasts

George Davis () and Bryce Kanago ()

Economic Inquiry, 2000, vol. 38, issue 1, 58-72

Abstract: There is considerable evidence that inflation variability and the level of inflation are positively related across countries. Evidence of a within-country relation is mixed. Evidence for a significant positive relation comes mostly from studies using some survey measure; contrary evidence comes mostly from studies using regression errors. Our measure of uncertainty is the squared forecast-error from Organization for Economic Cooperation and Development inflation forecasts. Most countries do not exhibit a positive and significant relation. The greatest number of positive coefficients is for relative uncertainty regressed on contemporaneous inflation. Copyright 2000 by Oxford University Press.

Date: 2000
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