We test for causality between inflation and its associated uncertainty by means of both in-sample and out-of-sample modelling. Our findings indicate that the impact of inflation on inflation uncertainty is more pronounced than the reverse causal effect.

This paper examines the link between inflation, output growth and their respective variabilities. We employ a bivariate GARCH model, which incorporates mean and level effects, to investigate in a unified empirical framework all the possible interactions between the four variables. We show that...