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Inflation and inflation uncertainty in the ASEAN-5 economies


  • Jiranyakul, Komain
  • Opiela, Timothy P.


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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  • Jiranyakul, Komain & Opiela, Timothy P., 2010. "Inflation and inflation uncertainty in the ASEAN-5 economies," Journal of Asian Economics, Elsevier, vol. 21(2), pages 105-112, April.
  • Handle: RePEc:eee:asieco:v:21:y:2010:i:2:p:105-112

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    References listed on IDEAS

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    2. Thanh, Su Dinh, 2015. "Threshold effects of infl ation on growth in the ASEAN-5 countries: A Panel Smooth Transition Regression approach," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 20(38), pages 41-48.
    3. Neanidis, Kyriakos C. & Savva, Christos S., 2011. "Nominal uncertainty and inflation: The role of European Union membership," Economics Letters, Elsevier, vol. 112(1), pages 26-30, July.
    4. 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.
    5. Dejan Živkov & Jovan Njegic & Marko Pecanac, 2014. "Bidirectional linkage between inflation and inflation uncertainty – the case of Eastern European countries," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 14(1-2), pages 124-139, 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, 2013. "Inflation, Inflation Uncertainty And Output Growth: Recent Evidence From Asean-5 Countries," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 58(04), pages 1-17.
    8. 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.
    9. Carmen PINTILESCU & Mircea ASANDULUI & Elena-Daniela VIORICA & Danut-Vasile JEMNA, 2016. "Investigation On The Causal Relationship Between Inflation, Output Growth And Their Uncertainties In Romania," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 17, pages 71-89, June.
    10. 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.
    11. Nora Abu Asab & Juan Carlos Cuestas & Alberto Montagnoli, 2015. "Inflation targeting or Exchange Rate Targeting: Which Framework Supports The Goal of Price Stability in Emerging Market Economics?," Working Papers 2015025, The University of Sheffield, Department of Economics.
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    14. Nasr, Adnen Ben & Balcilar, Mehmet & Ajmi, Ahdi N. & Aye, Goodness C. & Gupta, Rangan & van Eyden, Reneé, 2015. "Causality between inflation and inflation uncertainty in South Africa: Evidence from a Markov-switching vector autoregressive model," Emerging Markets Review, Elsevier, vol. 24(C), pages 46-68.
    15. Akhand Akhtar Hossain & Popkarn Arwatchanakarn, 2016. "Inflation and inflation volatility in Thailand," Applied Economics, Taylor & Francis Journals, vol. 48(30), pages 2792-2806, June.
    16. Said Zamin Shah & Said Zamin Shah & Ahmad Zubaidi Baharumshah & Muzafar Shah Habibullah & Law Siong Hook, 2017. "The Asymmetric Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Empirical Evidence from Bangladesh," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 377-386.
    17. Hassan Heidari & Salih Turan Katircioglu & Sahar Bashiri, 2013. "Inflation, inflation uncertainty and growth in the Iranian economy: an application of BGARCH-M model with BEKK approach," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 14(5), pages 819-832, November.
    18. HAVVANUR FEYZA ERDEM & Rahmi Yamak, 2014. "The Relationship Between Inflation And Inflation Uncertainty In Turkey," Economy of region, Centre for Economic Security, Institute of Economics of Ural Branch of Russian Academy of Sciences, vol. 1(4), pages 246-254.
    19. 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.
    20. Buth, Bora & Kakinaka, Makoto & Miyamoto, Hiroaki, 2015. "Inflation and inflation uncertainty: The case of Cambodia, Lao PDR, and Vietnam," Journal of Asian Economics, Elsevier, vol. 38(C), pages 31-43.
    21. 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.
    22. Ahmad Zubaidi Baharumshah & Siew-Voon Soon, 2014. "Inflation, inflation uncertainty and output growth: what does the data say for Malaysia?," Journal of Economic Studies, Emerald Group Publishing, vol. 41(3), pages 370-386, May.
    23. E. Tsanana & X. Chapsa & C. Katrakilidis, 2016. "Is growth corrupted or bureaucratic? Panel evidence from the enlarged EU," Applied Economics, Taylor & Francis Journals, vol. 48(33), pages 3131-3147, July.

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