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Inflation and inflation uncertainty in the ASEAN-5 economies

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  • Jiranyakul, Komain
  • Opiela, Timothy P.

Abstract

This study explores the linkage between inflation and inflation uncertainty in the ASEAN-5 countries over the period 1970:01-2007:12. Inflation uncertainty is estimated as a conditional variance in an AR(p)-EGARCH(1,1) model. Granger causality tests show that rising inflation increases inflation uncertainty and that rising inflation uncertainty increases inflation in all five countries. The ASEAN-5 have had low inflation rates relative to other emerging markets. Thus, our study shows that even in low inflation emerging markets inflation can lead to inflation uncertainty and uncertainty can lead to inflation. Given current inflationary pressures in these countries, our results warn of possible costs of not keeping inflation in check.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Asian Economics.

Volume (Year): 21 (2010)
Issue (Month): 2 (April)
Pages: 105-112

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Handle: RePEc:eee:asieco:v:21:y:2010:i:2:p:105-112

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Web page: http://www.elsevier.com/locate/asieco

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Keywords: Inflation uncertainty GARCH EGARCH;

References

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Cited by:
  1. Kyriakos C. Neanidis & Christos S. Savva, 2010. "Nominal Uncertainty and Inflation: The Role of European Union Membership," Centre for Growth and Business Cycle Research Discussion Paper Series 146, Economics, The Univeristy of Manchester.
  2. Achour Maha & Trabelsi Abdelwahed, 2011. "Markov Switching and State-Space Approaches for Investigating the Link between Egyptian Inflation Level and Uncertainty," Review of Middle East Economics and Finance, De Gruyter, vol. 6(3), pages 46-62, February.
  3. Chang, Kuang-Liang, 2012. "The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 523-536.
  4. Irrshad Kaseeram & Eleftherios Contogiannis, 2011. "The Impact of Inflation Targeting on Inflation Volatility in South Africa," The African Finance Journal, Africagrowth Institute, vol. 13(Conferenc), pages 34-52.
  5. Siok Kun Sek & Wai Mun Har, 2012. "Does Inflation Targeting Work in Emerging East-Asian Economies?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(5), pages 599-608, December.
  6. Biru Paksha Paul, 2013. "Inflation--growth nexus: some bivariate EGARCH evidence for Bangladesh," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 6(1), pages 66-76, March.
  7. Siti Hamizah Mohd & Ahmad Zubaidi Baharumshah & Stilianos Fountas, 2012. "Inflation, Inflation Uncertainty and Output Growth: Recent Evidence from ASEAN-5 Countries," Discussion Paper Series 2012_07, Department of Economics, University of Macedonia, revised Jul 2012.
  8. Ahmad Zubaidi Baharumshah & Akram Hasanov & Stilianos Fountas, 2011. "Inflation and inflation uncertainty: Evidence from two Transition Economies," Discussion Paper Series 2011_05, Department of Economics, University of Macedonia, revised Apr 2011.

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