Is price dynamics homogeneous across Eurozone countries?
AbstractThe aim of this paper is to investigate whether price dynamics is homogeneous across the Eurozone countries. Relying on monthly data over the January 1970-July 2011 period, we test for the absolute purchasing power parity (PPP) hypothesis through the implementation of second-generation panel unit root and cointegration tests. Our results show that price dynamics are heterogeneous depending on both the time period and the considered group of countries. More specifically, while PPP is validated for the core EMU countries, this hypothesis does not hold for Northern peripheral economies. Turning to the Southern countries, PPP is observed only before the launch of the euro.
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Bibliographic InfoPaper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2012-4.
Length: 25 pages
Date of creation: 2012
Date of revision:
price convergence; Eurozone; panel unit root tests; half-life;
Other versions of this item:
- Mignon, Valérie & Guerreiro, David & Joëts, Marc, 2012. "Is Price Dynamics Homogeneous Across Eurozone Countries?," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 27, pages 609-632.
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- F15 - International Economics - - Trade - - - Economic Integration
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-14 (All new papers)
- NEP-EEC-2012-03-14 (European Economics)
- NEP-EUR-2012-03-14 (Microeconomic European Issues)
- NEP-MON-2012-03-14 (Monetary Economics)
- NEP-OPM-2012-03-14 (Open Economy Macroeconomic)
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.:
- Ivo Arnold & Bastiaan Verhoef, 2004. "External causes of Euro zone inflation differentials," Intereconomics: Review of European Economic Policy, Springer, vol. 39(5), pages 254-263, September.
- David Guerreiro, 2013. "Is the European debt crisis a mere balance of payments crisis?," FIW Working Paper series 118, FIW.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Valérie Mignon).
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