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Inflation convergence in Central and Eastern Europe vs. the Eurozone: Non-linearities and long memory

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  • Juan Carlos Cuestas
  • Luis A. Gil-Alana
  • Karl Taylor

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  • Juan Carlos Cuestas & Luis A. Gil-Alana & Karl Taylor, 2016. "Inflation convergence in Central and Eastern Europe vs. the Eurozone: Non-linearities and long memory," Scottish Journal of Political Economy, Scottish Economic Society, vol. 63(5), pages 519-538, November.
  • Handle: RePEc:bla:scotjp:v:63:y:2016:i:5:p:519-538
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    References listed on IDEAS

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    1. Peter C. B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Econometrica, Econometric Society, vol. 75(6), pages 1771-1855, November.
    2. Karl Taylor & Robert McNabb, 2007. "Business Cycles and the Role of Confidence: Evidence for Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 185-208, April.
    3. Kocenda, Evzen & Kutan, Ali M. & Yigit, Taner M., 2006. "Pilgrims to the Eurozone: How far, how fast?," Economic Systems, Elsevier, vol. 30(4), pages 311-327, December.
    4. Ansgar Belke & Gunther Schnabl & Holger Zemanek, 2013. "Real Convergence, Capital Flows, and Competitiveness in Central and Eastern Europe," Review of International Economics, Wiley Blackwell, vol. 21(5), pages 886-900, November.
    5. Lewis, John, 2009. "Hitting and hoping?: Meeting the exchange rate and inflation criteria during a period of nominal convergence," European Journal of Political Economy, Elsevier, vol. 25(4), pages 508-524, December.
    6. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
    7. Lim, G.C. & McNelis, Paul D., 2007. "Central bank learning, terms of trade shocks and currency risk: Should only inflation matter for monetary policy?," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 865-886, October.
    8. Sollis, Robert, 2009. "A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries," Economic Modelling, Elsevier, vol. 26(1), pages 118-125, January.
    9. Granger, Clive W. J. & Hyung, Namwon, 2004. "Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 399-421, June.
    10. Luis A. Gil-Alana, 2008. "Fractional integration and structural breaks at unknown periods of time," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 163-185, January.
    11. Alina M. Spiru, 2008. "Inflation Convergence In Central And Eastern European Economies," Romanian Economic Business Review, Romanian-American University, vol. 3(4), pages 14-34, Winter.
    12. Thomas Mikosch & Catalin Starica, 2004. "Non-stationarities in financial time series, the long range dependence and the IGARCH effects," Econometrics 0412005, EconWPA.
    13. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2007. "Nonstationarity-extended local Whittle estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1353-1384, December.
    14. Lopez, Claude & Papell, David H., 2012. "Convergence of Euro area inflation rates," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1440-1458.
    15. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
    16. Cuestas, Juan Carlos & Harrison, Barry, 2010. "Inflation persistence and nonlinearities in Central and Eastern European countries," Economics Letters, Elsevier, vol. 106(2), pages 81-83, February.
    17. Brissimis, Sophocles N. & Skotida, Ifigeneia, 2008. "Optimal monetary policy in the euro area in the presence of heterogeneity," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 209-226, March.
    18. Mark Holmes, 2002. "Panel data evidence on inflation convergence in the European Union," Applied Economics Letters, Taylor & Francis Journals, vol. 9(3), pages 155-158.
    19. Andros Gregoriou & Alexandros Kontonikas & Alberto Montagnoli, 2011. "Euro Area Inflation Differentials: Unit Roots and Nonlinear Adjustment," Journal of Common Market Studies, Wiley Blackwell, vol. 49(3), pages 525-540, May.
    20. Bernard, Andrew B & Durlauf, Steven N, 1995. "Convergence in International Output," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 97-108, April-Jun.
    21. Bernhard Herz & Stefan Hohberger, 2013. "Fiscal Policy, Monetary Regimes and Current Account Dynamics," Review of International Economics, Wiley Blackwell, vol. 21(1), pages 118-136, February.
    22. Robert J. Barro & Xavier Sala-i-Martin, 1991. "Convergence across States and Regions," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 22(1), pages 107-182.
    23. repec:bil:bilpap:0501 is not listed on IDEAS
    24. Kocenda, Evzen, 2001. "Macroeconomic Convergence in Transition Countries," Journal of Comparative Economics, Elsevier, vol. 29(1), pages 1-23, March.
    25. Sarah Gelper & Christophe Croux, 2010. "On the Construction of the European Economic Sentiment Indicator," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(1), pages 47-62, February.
    26. Fabio Busetti & Lorenzo Forni & Andrew Harvey & Fabrizio Venditti, 2007. "Inflation Convergence and Divergence within the European Monetary Union," International Journal of Central Banking, International Journal of Central Banking, vol. 3(2), pages 95-121, June.
    27. Thomas Mikosch & Cătălin Stărică, 2004. "Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 378-390, February.
    28. Kocenda, Evzen & Papell, David H, 1997. "Inflation Convergence within the European Union: A Panel Data Analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(3), pages 189-198, July.
    29. Karsten Staehr, 2010. "Income convergence and inflation in Central and Eastern Europe : does the sun always rise in the East," Bank of Estonia Working Papers wp2010-04, Bank of Estonia, revised 22 Mar 2010.
    30. Alina M. Spiru, 2008. "Inflation Convergence In Central And Eastern European Economies," Journal of Information Systems & Operations Management, Romanian-American University, vol. 2(1), pages 289-316, July.
    31. Barro, Robert J & Sala-i-Martin, Xavier, 1992. "Convergence," Journal of Political Economy, University of Chicago Press, vol. 100(2), pages 223-251, April.
    32. John Lewis & Karsten Staehr, 2010. "The Maastricht Inflation Criterion: What is the Effect of European Union Enlargement?," Journal of Common Market Studies, Wiley Blackwell, vol. 48, pages 687-708, June.
    33. Lehmann, Hartmut & Muravyev, Alexander, 2009. "How Important Are Labor Market Institutions for Labor Market Performance in Transition Countries?," IZA Discussion Papers 4673, Institute for the Study of Labor (IZA).
    34. Weber, Axel A. & Beck, Günter W., 2005. "Price stability, inflation convergence and diversity in EMU: Does one size fit all?," CFS Working Paper Series 2005/30, Center for Financial Studies (CFS).
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