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| Author: | Davis, G. Kanago, B. |
| Title: | High and uncertain inflation: Results from a new data set |
| Journal: | Journal of Money, Credit and Banking
1998 : MAY, VOL. 30:2, p. 218-230 |
| Index terms: | Economic theory Inflation rates Uncertainty Forecasting Statistical methods |
| Language: | eng |
| Abstract: | In this study, a data set of inflation expectations is used covering 20 yrs and 44 countries to investigate the relationship btw. 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 the data of this study for a within-country relationship. In particular, very few of the countries in the sample exhibit a relationship btw. lagged inflation and future uncertainty. This result holds even when a bootstrapping technique is used that is robust to small sample size and heteroskedasticity. |
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