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Modelling Italian Inflation, 1970-2006

Author

Listed:
  • Emanuele Bacchiocchi

    (Università degli Studi di Milano)

Abstract

In this paper we propose a model for the dynamics of inflation in Italy. It is shown that both in the short and long run the inflation patterns cannot be explained by a single cause. Changes in monetary and credit markets, and in many sectors of the Italian economy suggest to split the sample period into two sub-samples and modelling inflation differently for each of the periods. Moreover, a robustness analysis rejects the hypothesis of a structural break associated with the institutional changes occurred in 1999, with the adhesion to the EMU and the adoption of the euro.

Suggested Citation

  • Emanuele Bacchiocchi, 2009. "Modelling Italian Inflation, 1970-2006," Rivista di Politica Economica, SIPI Spa, issue 1, pages 65-110, January-M.
    • Handle: RePEc:rpo:ripoec:y:2009:i:1:p:65-110
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    More about this item

    Keywords

    inflation dynamics; structural breaks; equilibrium correction models;
    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
    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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