A quantile framework for analysing the links between inflation uncertainty and inflation dynamics across countries

Abstract

In contrast to the conventional conditional mean approaches, this study uses quantile regression techniques to present some new statistical evidence on the links between inflation uncertainty and the level of inflation with cross-sectional data from 90 countries during the period 1961 to 2006. The results suggest that positive inflation shocks have stronger impact on inflation uncertainty which varies across the quantiles. Furthermore, popular time-series models are evaluated for their ability to reproduce measures of uncertainty and indicate similar results regarding the relationships between inflation and inflation uncertainty.