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Looking for a break in Spanish Inflation Data in the early eighties and assessing persistence

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Author Info
Maria Teresa Mota (Faculdade de Economia e Gestão - Universidade Católica Portuguesa (Porto))
Mariana Alves da Cunha (Faculdade de Economia e Gestão - Universidade Católica Portuguesa (Porto))
Carlos Santos () (Faculdade de Economia e Gestão - Universidade Católica Portuguesa (Porto))

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Abstract

Using the Bai-Perron test, we look for a shift in the conditional mean of an AR representation of Spanish CPI inflation over the period: 1978-2006. It is clear that Spain, as most OECD economies, experienced an inflation slowdown in the early eithgties, which can be related to some policy measures undertook by the government coming out of the 1982 elections. It is shown, that when the break is accounted for, there are no signs of persistence in Spanish CPI inflation.

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Publisher Info
Paper provided by Faculdade de Economia e Gestão, Universidade Católica Portuguesa (Porto) in its series Documentos de Trabalho em Economia (Working Papers in Economics) with number 02.

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Length: 12 pages
Date of creation: Feb 2008
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Handle: RePEc:cap:wpaper:022008

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Related research
Keywords: inflation persistence; structural breaks; monetary policy;

Find related papers by JEL classification:
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
E65 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Studies of Particular Policy Episodes
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Andrew T. Levin & Jeremy M. Piger, 2004. "Is inflation persistence intrinsic in industrial economies?," Working Paper Series 334, European Central Bank. [Downloadable!]
    Other versions:
  2. Carlos Robalo Marques, 2004. "Inflation persistence - facts or artefacts?," Working Paper Series 371, European Central Bank. [Downloadable!]
  3. Andrews, Donald W K & Chen, Hong-Yuan, 1994. "Approximately Median-Unbiased Estimation of Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 187-204, April.
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