This study examines the relationship between inflation and inflation uncertainty for both developed and emerging countries using the asymmetric power GARCH model. We find new evidence that suggests that positive inflationary shocks have stronger impacts on inflation uncertainty for mainly Latin American countries. We also find that inflation causes inflation uncertainty for most countries but the evidence for causality of the opposite direction is mixed.
Daal, Elton; Naka, Atsuyuki; and Sanchez, Benito, "Re-examining inflation and inflation uncertainty in developed and emerging countries" (2004). Department of Economics and Finance Working Papers, 1991-2006. Paper 26.