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Time-varying inflation persistence in the Euro area

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  • Beechey, Meredith
  • Österholm, Pär

Abstract

This paper investigates how inflation persistence in the Euro area has evolved between 1991 and 2006. Employing an ARMA(1,11) model with time-varying autoregressive parameter, we find that inflation persistence has fallen markedly since the third stage of the EMU began in January 1999 and inflation no longer exhibits unit-root behaviour.

Suggested Citation

  • Beechey, Meredith & Österholm, Pär, 2009. "Time-varying inflation persistence in the Euro area," Economic Modelling, Elsevier, vol. 26(2), pages 532-535, March.
    • Handle: RePEc:eee:ecmode:v:26:y:2009:i:2:p:532-535
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    References listed on IDEAS

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