This study examines the dynamic relationship between monthly inflation and inflation uncertainty in Japan, the US and … autoregressive conditional heteroskedasticity (GARCH) model to generate a measure of inflation uncertainty, the empirical evidence … from both the linear vector autoregressive (VAR) and nonparametric regression models show that higher inflation rates lead …

The welfare costs of inflation and inflation uncertainty are well documented in the literature and empirical evidence … inflation and inflation uncertainty in Egypt using monthly time series data during the period January 1974 - April 2015. To … endogenously control for any potential structural breaks in the inflation time series, Zivot and Andrews (2002) and Clemente …