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Time-varying inflation persistence in the Euro area

  • Beechey, Meredith
  • Österholm, Pär

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.

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File URL: http://www.sciencedirect.com/science/article/B6VB1-4V2X6T4-1/2/35dd1e3e088db4e00294fc0bbf89a498
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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 26 (2009)
Issue (Month): 2 (March)
Pages: 532-535

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Handle: RePEc:eee:ecmode:v:26:y:2009:i:2:p:532-535
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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  1. Ignazio Angeloni & Luc Aucremanne & Michael Ehrmann & Jordi Galí & Andrew Levin & Frank Smets, 2006. "New Evidence on Inflation Persistence and Price Stickiness in the Euro Area: Implications for Macro Modeling," Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 562-574, 04-05.
  2. Batini, Nicoletta, 2002. "Euro area inflation persistence," Working Paper Series 0201, European Central Bank.
  3. Richard Clarida & Jordi Gali & Mark Gertler, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," NBER Working Papers 7147, National Bureau of Economic Research, Inc.
  4. Luis J. Álvarez & Emmanuel Dhyne & Marco M. Hoeberichts & Claudia Kwapil & Hervé le Bihan & Patrick Lünnemann & Fernando Martins & Roberto Sabbatini & Harald Stahl & Philip Vermeulen & Jouko Vilmunen, 2005. "Sticky prices in the euro area: a summary of new micro evidence," Banco de Espa�a Working Papers 0542, Banco de Espa�a.
  5. Pivetta, Frederic & Reis, Ricardo, 2007. "The persistence of inflation in the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1326-1358, April.
  6. Meredith Beechey & Par Osterholm, 2007. "The rise and fall of U.S. inflation persistence," Finance and Economics Discussion Series 2007-26, Board of Governors of the Federal Reserve System (U.S.).
  7. Andrew Levin & Jeremy Piger, 2003. "Is Inflation Persistence Intrinsic in Industrial Economies?," Computing in Economics and Finance 2003 298, Society for Computational Economics.
  8. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
  9. Fuhrer, Jeff & Moore, George, 1995. "Inflation Persistence," The Quarterly Journal of Economics, MIT Press, vol. 110(1), pages 127-59, February.
  10. Svensson, L-E-O, 1997. "Inflation Targeting : Some Extensions," Papers 625, Stockholm - International Economic Studies.
  11. S. G. B Henry & A. R. Pagan, 2004. "The Econometrics of the New Keynesian Policy Model: Introduction," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(s1), pages 581-607, 09.
  12. J. Bradford DeLong, 1997. "America's Peacetime Inflation: The 1970s," NBER Chapters, in: Reducing Inflation: Motivation and Strategy, pages 247-280 National Bureau of Economic Research, Inc.
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