This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Break in the mean and persistence of inflation - a sectoral analysis of French CPI Author info | Abstract | Publisher info | Download info | Related research | Statistics Laurent Bilke () (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany )
This paper uses disaggregated CPI time series to show that a break in the mean of French inflation occurred in the mid-eighties and that the 1983 monetary policy shift mostly accounted for it. CPI average yearly growth declined from nearly 11% before the break date (May 1985) to 2.1% after. No other break in the 1973-2004 sample period can be found. Controlling for this mean break, both aggregate and sectoral inflation persistence are stable and low, with the unit root lying far in the tail of the persistence estimates. However, persistence differs dramatically across sectors. Finally, the duration between two price changes (at the firm level) appears positively related with inflation persistence (at the aggregate level).
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by European Central Bank in its series Working Paper Series with number
463.
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Length: 46 pages
Date of creation: Mar 2005Date of revision:
Handle: RePEc:ecb:ecbwps:20050463Contact details of provider: Postal: Postfach 16 03 19, Frankfurt am Main, Germany Phone: +49 69 1344 0 Fax: +49 69 1344 6000 Web page: http://www.ecb.europa.eu/home/html/index.en.html More information through EDIRC
Order Information: Postal: Press and Information Division, European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany Email:
For technical questions regarding this item, or to correct its listing, contact: (Official Publications).
Keywords: Multiple breaks test inflation persistence monetary policy sectoral prices. Other versions of this item:
Find related papers by JEL classification: E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation 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
This paper has been announced in the following NEP Reports :
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.: John B. Taylor, 1980.
"Aggregate Dynamics and Staggered Contracts ,"
NBER Reprints
0126, National Bureau of Economic Research, Inc.
Other versions: Stephen G. Cecchetti & Guy Debelle, 2006.
"Has the inflation process changed? ,"
Economic Policy ,
CEPR, CES, MSH, vol. 21(46), pages 311-352, 04.
[Downloadable!] (restricted)
Other versions: Sandrine Corvoisier & Benoît Mojon, 2005.
"Breaks in the mean of inflation - how they happen and what to do with them ,"
Working Paper Series
451, European Central Bank.
[Downloadable!]
Andrews, Donald W K, 1991.
"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation ,"
Econometrica ,
Econometric Society, vol. 59(3), pages 817-58, May.
[Downloadable!] (restricted)
Other versions: Altissimo, F. & Corradi, V., 2000.
"Strong Rules for Detecting the Number of Breaks in a Time Series ,"
Discussion Papers
00/11, University of Exeter, School of Business and Economics.
Other versions: Bruce E. Hansen, 1999.
"The Grid Bootstrap And The Autoregressive Model ,"
The Review of Economics and Statistics ,
MIT Press, vol. 81(4), pages 594-607, November.
[Downloadable!] (restricted)
Pivetta, Frederic & Reis, Ricardo, 2007.
"The persistence of inflation in the United States ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 31(4), pages 1326-1358, April.
[Downloadable!] (restricted)
Perron, Pierre, 1990.
"Testing for a Unit Root in a Time Series with a Changing Mean ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 8(2), pages 153-62, April.
Other versions: James H. Stock & Mark W. Watson, 2003.
"Understanding Changes in International Business Cycle Dynamics ,"
NBER Working Papers
9859, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Mark Bils & Peter J. Klenow, 2002.
"Some Evidence on the Importance of Sticky Prices ,"
NBER Working Papers
9069, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Whitney K. Newey & Kenneth D. West, 1986.
"A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix ,"
NBER Technical Working Papers
0055, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Newey, Whitney K & West, Kenneth D, 1987.
"A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix ,"
Econometrica ,
Econometric Society, vol. 55(3), pages 703-08, May.
[Downloadable!] (restricted) Marianne Sensier & Dick van Dijk, 2004.
"Testing for Volatility Changes in U.S. Macroeconomic Time Series ,"
The Review of Economics and Statistics ,
MIT Press, vol. 86(3), pages 833-839, 08.
[Downloadable!] (restricted)
Other versions: Karl Whelan, 2004.
"Staggered price contracts and inflation persistence: some general results ,"
Working Paper Series
417, European Central Bank.
[Downloadable!]
Other versions: Carlos Robalo Marques, 2004.
"Inflation persistence - facts or artefacts? ,"
Working Paper Series
371, European Central Bank.
[Downloadable!]
Richard Clarida & Jordi Galí & Mark Gertler, 2000.
"Monetary Policy Rules And Macroeconomic Stability: Evidence And Some Theory ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 115(1), pages 147-180, February.
[Downloadable!] (restricted)
Other versions:
Clarida, Richard & Galí, Jordi & Gertler, Mark, 1998.
"Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory ,"
CEPR Discussion Papers
1908, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Richard Clarida & Jordi Gali & Mark Gertler, 1998.
"Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory ,"
NBER Working Papers
6442, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Richard Clarida & Jordi Galí & Mark Gertler, 1997.
"Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory ,"
Economics Working Papers
350, Department of Economics and Business, Universitat Pompeu Fabra, revised May 1999.
[Downloadable!] Clarida, R. & Gali, J. & Gertler, M., 1998.
"Monetary Policy Rules and Macroeconomic Stability: Evidence and some Theory ,"
Working Papers
98-01, C.V. Starr Center for Applied Economics, New York University.
[Downloadable!] Luca Benati & George Kapetanios, 2003.
"Structural Breaks in Inflation Dynamics ,"
Computing in Economics and Finance 2003
169, Society for Computational Economics.
Andrew T. Levin & Jeremy M. Piger, 2003.
"Is inflation persistence intrinsic in industrial economies? ,"
Working Papers
2002-023, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions: Fuhrer, Jeff & Moore, George, 1995.
"Inflation Persistence ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 110(1), pages 127-59, February.
[Downloadable!] (restricted)
Other versions:
Jeff Fuhrer & George Moore, 1993.
"Inflation persistence ,"
Finance and Economics Discussion Series
93-17, Board of Governors of the Federal Reserve System (U.S.).
Jeff Fuhrer & George Moore, 1993.
"Inflation persistence ,"
Proceedings ,
Board of Governors of the Federal Reserve System (U.S.).
Jeff Fuhrer & George Moore, 1993.
"Inflation persistence ,"
Proceedings ,
Federal Reserve Bank of San Francisco, issue Mar.
Margaret M. McConnell & Patricia C. Mosser & Gabriel Perez Quiros, 1999.
"A decomposition of the increased stability of GDP growth ,"
Current Issues in Economics and Finance ,
Federal Reserve Bank of New York, issue Aug.
[Downloadable!]
Luc Aucremanne & Emmanuel Dhyne, 2004.
"How frequently do prices change? Evidence based on the micro data underlying the Belgian CPI ,"
Research series
200404-1, National Bank of Belgium.
[Downloadable!]
Gerard O'Reilly & Karl Whelan, 2004.
"Has euro-area inflation persistence changed over time? ,"
Working Paper Series
335, European Central Bank.
[Downloadable!]
Other versions: Luc Aucremanne & Emmanuel Dhyne, 2004.
"How frequently do prices change? Evidence based on the micro data underlying the Belgian CPI ,"
Working Paper Series
331, European Central Bank.
[Downloadable!]
Jonathan L. Willis, 2003.
"Implications of structural changes in the U.S. economy for pricing behavior and inflation dynamics ,"
Economic Review ,
Federal Reserve Bank of Kansas City, issue Q I, pages 5-27.
[Downloadable!]
Altissimo, Filippo & Corradi, Valentina, 2003.
"Strong rules for detecting the number of breaks in a time series ,"
Journal of Econometrics ,
Elsevier, vol. 117(2), pages 207-244, December.
[Downloadable!] (restricted)
Vogelsang, Timothy J., 1998.
"Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series ,"
Journal of Econometrics ,
Elsevier, vol. 88(2), pages 283-299, November.
[Downloadable!] (restricted)
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.
repec:cup:etheor:v:13:y:1997:i:3:p:315-52 is not listed on IDEAS
Granger, C. W. J., 1980.
"Long memory relationships and the aggregation of dynamic models ,"
Journal of Econometrics ,
Elsevier, vol. 14(2), pages 227-238, October.
[Downloadable!] (restricted)
Claire Loupias & Roland Ricart, 2004.
"Price setting in France: new evidence from survey data ,"
Working Paper Series
423, European Central Bank.
[Downloadable!]
Full
references Cited by : (explanations , 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.)
Filippo Altissimo & Benoît Mojon & Paolo Zaffaroni, 2007.
"Fast micro und slow macro: can aggregation explain the persistence of inflation? ,"
Working Paper Series
729, European Central Bank.
[Downloadable!]
Other versions: Gianni Amisano & Oreste Tristani, 2007.
"Euro area inflation persistence in an estimated nonlinear DSGE model ,"
Working Paper Series
754, European Central Bank.
[Downloadable!]
Other versions: Patrick Lünnemann & Thomas Y. Mathä, 2005.
"Nominal rigidities and inflation persistence in Luxembourg: a comparison with EU 15 member countries with particular focus on services and regulated prices ,"
BCL working papers
cahier_etude_14, Central Bank of Luxembourg.
[Downloadable!]
Michal Franta & Branislav Saxa & Katerina Smidkova, 2007.
"Inflation Persistence in New EU Member States: Is It Different Than in the Euro Area Members? ,"
Working Papers
2007/10, Czech National Bank, Research Department.
[Downloadable!]
Patrick Lünnemann & Thomas Y. Mathä, 2005.
"Regulated and services’ prices and inflation persistence ,"
Working Paper Series
466, European Central Bank.
[Downloadable!]
Access and
download statistics Did you know? You may want to explore EconPapers , which displays the same data as IDEAS in a different way.
This page was last updated on 2008-9-24.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .