<![CDATA[A number studies have been conducted to establish the relationship between uncertainty and macroeconomic variables, such as inflation. Subsequently, economists constructed a time-varying uncertainty index, which is referred to as the World Uncertainty Index (WUI). This study aims to identify the effect of time-varying uncertainty subject to inflation in ASEAN. Using yearly dataset of the WUI as a proxy for the global level of domestic uncertainty, inflation, gross domestic product (GDP), foreign direct investment (FDI), and exchange rate from 2015 to 2019 for all ASEAN Member States (AMS), a two-step System Generalized Method of Moments (Sys-GMM) was employed to estimate the dynamic relationship and the short- and long-run effect of the socioeconomic uncertainty proxies with respect to inflation in ASEAN. The results indicated that uncertainty had positively and significantly affect inflation in the short-run estimation, along with GDP. Meanwhile, in the long-run estimation, it was only GDP that affected inflation, rather than uncertainty. Keywords: ASEAN, Economic Uncertainty, Inflation JEL: D81; E31; P25]]>
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