The level and uncertainty of inflation: results from OECD forecasts

There is considerable evidence that inflation variability and the level of inflation are positively related across countries. Evidence of a within‐country relation is mixed. Evidence for a significant positive relation comes mostly from studies using some survey measure; contrary evidence comes mostly from studies using regression errors. Our measure of uncertainty is the squared forecast‐error from Organization for Economic Cooperation and Development inflation forecasts. Most countries do not exhibit a positive and significant relation. The greatest number of positive coefficients is for relative uncertainty regressed on contemporaneous inflation.