The Linkages between Inflation and Inflation Uncertainty in Selected Asian Economies: Evidence from Quantile Regression

Using monthly data from 1979M1 to 2019M12, this paper employs the AR(p)-EGARCH model and quantile regression to examine the linkages between inflation and inflation uncertainty in nine Asian countries. The results show that inflation positively causes inflation uncertainty in all economies regardless whether economies are inflation or non-inflation targeting. The Friedman-Ball hypothesis is thus supported. In addition, inflation uncertainty positively causes inflation in most economies. Therefore, the Cukierman-Meltzer hypothesis.is likely to be supported. The findings signal the possibility of the real cost of inflation for these economies.