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Revisiting inflation in the euro area allowing for long memory

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  • Hualde, Javier
  • Iacone, Fabrizio

Abstract

We analyse inflation and inflation differentials in the euro area allowing for long memory and a new type of limiting theory denoted fixed-bandwidth. Our results differ from those based on standard normal asymptotics and the short memory assumption, and we also find that the inflation differentials between “core” and “peripheral” countries are strongly persistent. “Core” economies appear to have less persistent differentials and may be more integrated, while “peripheral” countries with high inflation may find themselves under competitive pressure for a long time.

Suggested Citation

  • Hualde, Javier & Iacone, Fabrizio, 2017. "Revisiting inflation in the euro area allowing for long memory," Economics Letters, Elsevier, vol. 156(C), pages 145-150.
  • Handle: RePEc:eee:ecolet:v:156:y:2017:i:c:p:145-150
    DOI: 10.1016/j.econlet.2017.04.025
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    References listed on IDEAS

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    Cited by:

    1. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, vol. 9(1), pages 1-17, March.
    2. Lena Dräger & Theoplasti Kolaiti & Philipp Sibbertsen, 2023. "Measuring macroeconomic convergence and divergence within EMU using long memory," Empirical Economics, Springer, vol. 65(5), pages 2333-2356, November.

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    More about this item

    Keywords

    Inflation persistence; Inflation differentials; Euro area; Fractional integration and cointegration;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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