International Journal of Social Science & Economic Research
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Title:
THE CONNECTION BETWEEN INFLATION UNCERTAINTY AND INFLATION: HIGH OR HIGHER INFLATION RATE EVIDENCE FROM THE EGYPTIAN ECONOMY (2011-2018)

Authors:
Dr. Mostafa H. Elsayed

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Dr. Mostafa H. Elsayed
Economic Department, HIMIT, Kafr El Sheikh.

MLA 8
Elsayed, Dr. Mostafa H. "THE CONNECTION BETWEEN INFLATION UNCERTAINTY AND INFLATION: HIGH OR HIGHER INFLATION RATE EVIDENCE FROM THE EGYPTIAN ECONOMY (2011-2018)." Int. j. of Social Science and Economic Research, vol. 5, no. 2, Feb. 2020, pp. 467-496, ijsser.org/more2020.php?id=33. Accessed Feb. 2020.
APA(6)
Elsayed, D. (2020, February). THE CONNECTION BETWEEN INFLATION UNCERTAINTY AND INFLATION: HIGH OR HIGHER INFLATION RATE EVIDENCE FROM THE EGYPTIAN ECONOMY (2011-2018). Int. j. of Social Science and Economic Research, 5(2), 467-496. Retrieved from ijsser.org/more2020.php?id=33
Chicago
Elsayed, Dr. Mostafa H. "THE CONNECTION BETWEEN INFLATION UNCERTAINTY AND INFLATION: HIGH OR HIGHER INFLATION RATE EVIDENCE FROM THE EGYPTIAN ECONOMY (2011-2018)." Int. j. of Social Science and Economic Research 5, no. 2 (February 2020), 467-496. Accessed February, 2020. ijsser.org/more2020.php?id=33.

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Abstract:
Uncertainty is the situation in which something is not well known, so inflation uncertainty can be simply defined as proportional deviation of inflation rate from its expected rate; that is the something matter in inflation uncertainty is the difference between the mean rate of inflation rate and its current rate regardless how high it is. After 25th Jan revolution; inflation has been one of the most serious problems that face Egyptian economy, so the present study examines the relationship between inflation uncertainty and inflation in Egyptian economy from 2011M1 to 2018M12 using two-step procedure. At the first step, a monthly data GARCH model of inflation is estimated to obtain the conditional variance which in turn use as approximation of the inflation uncertainty. Then, the Granger causality tests between inflation series and the obtained conditional variance (inflation uncertainty) series are implemented. Empirical results of the study provided an evidence for the mutual interdependence between the two variables, that is, higher inflation rate above its mean rate will lead to high inflation uncertainty and vice versa, and in the same time stable high inflation rate leads to less sensitiveness of inflation uncertainty to increase in inflation rate. In some context this result modifies both Friedman-Ball hypothesis and Cukierman and Meltzer hypothesis that higher (not high) inflation rate affect and affected by inflation uncertainty.