The causality relationship between inflation and inflation uncertainty: A study in some Southeast Asian countries

Abstract

This study aims to explore the causal relationship between inflation and inflation uncertainty in some Southeast Asian countries. Research data was collected from January 2008 to December 2019. Inflation uncertainty was measured by conditional variance, which was estimated by the GARCH model. Besides the Granger Causality test, the Toda-Yamamoto test was also employed to increase the statistical significance of the causal relationship. Research results found a two-way causal relationship between inflation and inflation uncertainty in Singapore, Thailand, and East Timor, whereas Vietnam, Laos, and the Philippines only recorded the effects of inflation on inflation uncertainty.