摘要：This paper is a first attempt to measure and analyze inflation uncertainty in
Pakistan. It makes several contributions to the literature. In the first stage, using
quarterly data from 1976:01 to 2008:02, we model inflation uncertainty as a time
varying process using the GARCH framework. In the second stage, we analyze
the asymmetric behavior of inflation uncertainty using the GJR-GARCH and
EGARCH models. For further analysis of asymmetry and leverage effects, we
develop news impact curves as proposed by Pagan and Schwart (1990). Finally
we investigate the causality and its direction between inflation and inflation
uncertainty by using the bivariate Granger-Causality test to determine which
inflation uncertainty hypothesis (Friedman-Ball or Cukierman-Meltzer) holds
true for Pakistani data. We obtain two important results. First, the GJR-GARCH
and EGARCH models are more successful in capturing inflation uncertainty and
its asymmetric behavior than the simple GARCH model. This can also be seen
from news impact curves showing a significant level of asymmetry. Second, there
is strong evidence that the Friedman-Ball inflation uncertainty hypothesis holds
true for Pakistan.
