High and uncertain inflation: Results from a new data set

We use a data set of inflation expectations that covers twenty years and forty-four countries to investigate the relationship between the level and uncertainty of inflation. While there is strong and robust evidence of a relationship between average inflation and average uncertainty across countries, there is little evidence in our data for a within-country relationship. In particular. very few of the countries in our sample exhibit a relationship between lagged inflation and future uncertainty. This result holds even when we use a bootstrapping technique that is robust to small sample size and heteroskedasticity.