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Inflation and the Divergence of Relative Prices: Evidence from a Cointegration Analysis

  • Juliane Scharff

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    File URL: http://hdl.handle.net/10.1007/s10182-007-0024-3
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    Article provided by Springer in its journal AStA Advances in Statistical Analysis.

    Volume (Year): 91 (2007)
    Issue (Month): 2 (August)
    Pages: 141-158

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    Handle: RePEc:spr:alstar:v:91:y:2007:i:2:p:141-158
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    1. Guglielmo Caporale & Nikitas Pittis, 1993. "Common stochastic trends and inflation convergence in the EMS," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 129(2), pages 207-215, June.
    2. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
    3. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
    4. Reinsdorf, Marshall, 1994. "New Evidence on the Relation between Inflation and Price Dispersion," American Economic Review, American Economic Association, vol. 84(3), pages 720-31, June.
    5. Breitung, Jorg & Hassler, Uwe, 2002. "Inference on the cointegration rank in fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 110(2), pages 167-185, October.
    6. Siklos, Pierre L & Wohar, Mark E, 1997. "Convergence in Interest Rates and Inflation Rates across Countries and over Time," Review of International Economics, Wiley Blackwell, vol. 5(1), pages 129-41, February.
    7. Konieczny, Jerzy D. & Skrzypacz, Andrzej, 2005. "Inflation and price setting in a natural experiment," Journal of Monetary Economics, Elsevier, vol. 52(3), pages 621-632, April.
    8. James G. MacKinnon, 1995. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Working Papers 918, Queen's University, Department of Economics.
    9. Parks, Richard W, 1978. "Inflation and Relative Price Variability," Journal of Political Economy, University of Chicago Press, vol. 86(1), pages 79-95, February.
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