This paper examines the relationship between inflation-uncertainty and the impact of
inflation targeting using British data over the period 1972-2002. Uncertainty is proxied using the
estimated conditional volatility from symmetric, asymmetric, and component GARCH-M models of
inflation. The results indicate a positive relationship between past inflation and current uncertainty.
We control for the indirect effect of lower average inflation throughout the last decade of inflation
targeting and find that the adoption of an explicit target eliminates inflation persistence and reduces
long-run uncertainty. Monetary authorities of implicit targeting countries should consider the extra
benefits associated with formal targets
