Panel A:

H0: inflation uncertainty does not Granger-cause inflation

Lags

F-statistics

4

11.674

8

19.62^** (+)

12

14.733

Panel B:

H0: inflation does not Granger-cause inflation uncertainty

Lags

F-statistics

4

157.54^*** (+)

8

170.58^*** (+)

12

184.36^*** (+)