High and Uncertain Inflation : Results from a New Data Set

We use a data set of inflation expectations that covers 20 years and 44 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 our data for a within country relationship. In particular, very few of the countries in our sample exhibit a relationship between lagged inflation and future uncertainty. This result holds even when we use a bootstrapping technique that is robust to small sample size and heteroscedasticity