| Panel A: sample period: 1973 to 1983 March (instability period) | ||
| H0: inflation does not Granger-cause inflation uncertainty | H0: inflation uncertainty does not Granger-cause inflation | |
| Lags | F-statistics | F-statistics |
| 4 | 114.99** (+) | 7.92 |
| 8 | 127.03** (+) | 14.559 |
| 12 | 137.43*** (+) | 11.813 |
| Panel B: sample period: 1984-2001 (post-ERP-pre IT period) | ||
| Lags | F-statistics | F-statistics |
| 4 | 35.87*** (+) | 1.629 |
| 8 | 46.98*** (+) | 4.98 |
| 12 | 17.87*** (+) | 17.87 |
| Panel C: sample period: 2002-to date (inflation targeting period) | ||
| Lags | F-statistics | F-statistics |
| 4 | 84.44*** (+) | 10.896** (+) |
| 8 | 129.28*** (+) | 30.66*** (+) |
| 12 | 174.36*** (+) | 38.779*** (+) |