Several authors have focused their research on analyzing the extent to which monetary policy would be important to avoid major distortions on income distribution. Empirical evidence indicates that low and controlled inflation is progressive. On the other hand, a strong unanticipated inflationary shock works as a regressive tax. This study sustains that in the least equitable countries, inflation generates more significant impacts on income inequality than in the case of the most equitable. Thus, the role of monetary policy in a country with high initial income inequality would be more important as an inflationary shock would have major consequences on this economy than in others. Different models of static and dynamic panel are developed, controlling for other variables found within the literature and the presence of endogeneity or weak exogeneity between some of them and the level of inequality. From the results, we verify the presence of a change in the relationship between inflation and inequality to the level of initial income inequality of the countries, as well as the presence of a non-linear relationship between these two variables. Also, the results support that only under hyperinflationary events the relationship between inflation and income inequality becomes relevant.