Advanced Search
MyIDEAS: Login to save this paper or follow this series

The impact of the European Monetary Union on inflation persistence in the euro area

Contents:

Author Info

  • Meller, Barbara
  • Nautz, Dieter

Abstract

This paper uses the European Monetary Union (EMU) as a natural experiment to investigate whether more effective monetary policy reduces the persistence of inflation. Taking into account the fractional integration of inflation, we confirm that inflation dynamics differed considerably across Euro area countries before the start of EMU. Since 1999, however, results obtained from panel estimation indicate that the degree of long run inflation persistence has converged. In line with theoretical predictions, we find that the persistence of inflation has significantly decreased in the Euro area probably as a result of the more effective monetary policy of the ECB. --

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://econstor.eu/bitstream/10419/28097/1/60874977X.PDF
Download Restriction: no

Bibliographic Info

Paper provided by Free University Berlin, School of Business & Economics in its series Discussion Papers with number 2009/8.

as in new window
Length:
Date of creation: 2009
Date of revision:
Handle: RePEc:zbw:fubsbe:20098

Contact details of provider:
Postal: Garystr. 21, 14195 Berlin (Dahlem)
Phone: (030) 838 2272
Fax: (030) 838 2129
Email:
Web page: http://www.wiwiss.fu-berlin.de/en/index.html
More information through EDIRC

Related research

Keywords: Monetary Policy Effectiveness and Inflation Persistence; Panel Test for Fractional Integration; Change in Inflation Persistence;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

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.:
as in new window
  1. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(1), pages 37-45, January.
  2. Filippo Altissimo & Michael Ehrmann & Frank Smets, 2006. "Inflation persistence and price-setting behaviour in the euro area – a summary of the IPN evidence," Occasional Paper Series 46, European Central Bank.
  3. Alan S. Blinder & Michael Ehrmann & Marcel Fratzscher & Jakob De Haan & David-Jan Jansen, 2008. "Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence," NBER Working Papers 13932, National Bureau of Economic Research, Inc.
  4. Christopher F. Baum & John Barkoulas & Mustafa Caglayan, 1996. "Persistence in International Inflation Rates," Boston College Working Papers in Economics, Boston College Department of Economics 333., Boston College Department of Economics.
  5. Baillie, Richard T & Chung, Ching-Fan & Tieslau, Margie A, 1996. "Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 11(1), pages 23-40, Jan.-Feb..
  6. Conrad Christian & Karanasos Menelaos, 2005. "Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 9(4), pages 1-38, December.
  7. Beechey, Meredith & Österholm, Pär, 2009. "Time-varying inflation persistence in the Euro area," Economic Modelling, Elsevier, Elsevier, vol. 26(2), pages 532-535, March.
  8. O'Reilly, Gerard & Whelan, Karl, 2004. "Has euro-area inflation persistence changed over time?," Working Paper Series, European Central Bank 0335, European Central Bank.
  9. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, Elsevier, vol. 14(2), pages 227-238, October.
  10. Frederic S. Mishkin, 2007. "Inflation Dynamics," NBER Working Papers 13147, National Bureau of Economic Research, Inc.
  11. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, Econometric Society, vol. 71(2), pages 579-625, March.
  12. Manmohan S. Kumar & Tatsuyoshi Okimoto, 2007. "Dynamics of Persistence in International Inflation Rates," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 39(6), pages 1457-1479, 09.
  13. Laura Mayoral, 2005. "The persistence of inflation in OECD countries: A fractionally integrated approach," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 958, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2005.
  14. Pivetta, Frederic & Reis, Ricardo, 2007. "The persistence of inflation in the United States," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 31(4), pages 1326-1358, April.
  15. Amano, Robert, 2007. "Inflation persistence and monetary policy: A simple result," Economics Letters, Elsevier, Elsevier, vol. 94(1), pages 26-31, January.
  16. Hidalgo, Javier & Robinson, Peter M., 1996. "Testing for structural change in a long-memory environment," Journal of Econometrics, Elsevier, Elsevier, vol. 70(1), pages 159-174, January.
  17. Kai Leitemo, 2007. "The Optimal Perception of Inflation Persistence is Zero," Scandinavian Journal of Economics, Wiley Blackwell, Wiley Blackwell, vol. 109(1), pages 107-113, 03.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Roland Strausz, 2009. "The Political Economy of Regulatory Risk," SFB 649 Discussion Papers SFB649DP2009-040, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Agnieszka Leszczynska & Katarzyna Hertel, 2013. "Inflation persistence – a disaggregated approach," EcoMod2013 5692, EcoMod.
  3. Michal Grajek & Lars-Hendrik Röller, 2009. "Regulation and investment in network industries: Evidence from European telecoms," ESMT Research Working Papers ESMT-09-004, ESMT European School of Management and Technology.
  4. Baillie, Richard T. & Morana, Claudio, 2012. "Adaptive ARFIMA models with applications to inflation," Economic Modelling, Elsevier, Elsevier, vol. 29(6), pages 2451-2459.
  5. Barbara Choroś & Wolfgang Härdle & Ostap Okhrin, 2009. "CDO and HAC," SFB 649 Discussion Papers SFB649DP2009-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  6. Maria Grith & Wolfgang Härdle & Juhyun Park, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers SFB649DP2009-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:zbw:fubsbe:20098. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.