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Re-Examining Inflation And Inflation Uncertainty In Developed And Emerging Countries, Elton Daal, Atsuyuki Naka, Benito Sanchez

Department of Economics and Finance Working Papers, 1991-2006

This study examines the relationship between inflation and inflation uncertainty for both developed and emerging countries using the asymmetric power GARCH model. We find new evidence that suggests that positive inflationary shocks have stronger impacts on inflation uncertainty for mainly Latin American countries. We also find that inflation causes inflation uncertainty for most countries but the evidence for causality of the opposite direction is mixed.