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Structural Breaks in Inflation Dynamics within the European Monetary Union

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  • Thomas Windberger

    ()

  • Achim Zeileis

    ()

Abstract

To assess the effects of the EMU on inflation rate dynamics of its member states, the inflation rate series for 21 European countries are investigated for structural changes. To capture changes in mean, variance, and skewness of inflation rates, a generalized logistic model is adopted and complemented with structural break tests and breakpoint estimation techniques. These reveal considerable differences in the patterns of inflation dynamics and the structural changes therein. Overall, there is a convergence towards a lower mean inflation rate with reduced skewness, but it is accompanied by an increase in variance.

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File URL: http://eeecon.uibk.ac.at/wopec2/repec/inn/wpaper/2011-12.pdf
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Bibliographic Info

Paper provided by Faculty of Economics and Statistics, University of Innsbruck in its series Working Papers with number 2011-12.

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Length: 23
Date of creation: Jun 2011
Date of revision:
Handle: RePEc:inn:wpaper:2011-12

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Keywords: inflation rate; structural break; EMU; generalized logistic distribution;

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References

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  1. Giulio Palomba & Emma Sarno & Alberto Zazzaro, 2009. "Testing similarities of short-run inflation dynamics among EU-25 countries after the Euro," Empirical Economics, Springer, vol. 37(2), pages 231-270, October.
  2. Guglielmo Maria Caporale & Alexandros Kontonikas, 2006. "The Euro And Inflation Uncertainty In The European Monetary Union," Economics and Finance Discussion Papers 06-01, Economics and Finance Section, School of Social Sciences, Brunel University.
  3. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO.
  4. Achim Zeileis & Friedrich Leisch & Kurt Hornik & Christian Kleiber, . "strucchange: An R Package for Testing for Structural Change in Linear Regression Models," Journal of Statistical Software, American Statistical Association, vol. 7(i02).
  5. Achim Zeileis & Kurt Hornik, 2007. "Generalized M-fluctuation tests for parameter instability," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 61(4), pages 488-508.
  6. Achim Zeileis, 2005. "A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 445-466.
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Cited by:
  1. Christian Beer, 2011. "Literature Review on the Economic Effects of the Euro on Austria," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 22–34.

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