Jiranyakul, Komain; Opiela, Timothy P. - In: Journal of Asian Economics 21 (2010) 2, pp. 105-112
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...
