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Break in the mean and persistence of inflation - a sectoral analysis of French CPI

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Author Info
Laurent Bilke () (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany)
Abstract

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).

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Publisher Info
Paper provided by European Central Bank in its series Working Paper Series with number 463.

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Length: 46 pages
Date of creation: Mar 2005
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Handle: RePEc:ecb:ecbwps:20050463

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Related research
Keywords: Multiple breaks test inflation persistence monetary policy sectoral prices.

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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

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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.:
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    Other versions:
  3. 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!]
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  13. Karl Whelan, 2004. "Staggered price contracts and inflation persistence: some general results," Working Paper Series 417, European Central Bank. [Downloadable!]
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  14. Carlos Robalo Marques, 2004. "Inflation persistence - facts or artefacts?," Working Paper Series 371, European Central Bank. [Downloadable!]
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  16. Luca Benati & George Kapetanios, 2003. "Structural Breaks in Inflation Dynamics," Computing in Economics and Finance 2003 169, Society for Computational Economics.
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  18. Fuhrer, Jeff & Moore, George, 1995. "Inflation Persistence," The Quarterly Journal of Economics, MIT Press, vol. 110(1), pages 127-59, February. [Downloadable!] (restricted)
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  22. 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!]
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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.)

  1. 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:
  2. 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:
  3. 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!]
  4. 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!]
  5. Patrick Lünnemann & Thomas Y. Mathä, 2005. "Regulated and services’ prices and inflation persistence," Working Paper Series 466, European Central Bank. [Downloadable!]
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