Testing similarities of short-run inflation dynamics among EU countries after the Euro
In this paper we introduce new definitions of pairwise and multivariate similarity between short-run dynamics of inflation rates in terms of equality of forecast functions and show that in the context of invertible ARIMA processes the Autoregressive distance introduced by Piccolo (1990) is a useful measure to evaluate such similarity. Then, we study the similarity of shortrun inflation dynamics across EU-15 area countries during the Euro period. Consistent with studies on inflation differentials and inflation persistence, our findings suggest that after seven years from the launch of the Euro the degree of similarity of short-run inflation dynamics across EU countries is still weak.
|Date of creation:||Jun 2007|
|Contact details of provider:|| Postal: Piazzale Martelli, 8, 60121 Ancona|
Phone: +39 071 220 7100
Fax: +39 071 220 7102
Web page: http://www.dises.univpm.it/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Aksoy, Yunus & De Grauwe, Paul & Dewachter, Hans, 2002. "Do asymmetries matter for European monetary policy?," European Economic Review, Elsevier, vol. 46(3), pages 443-469, March.
- Fabio Busetti & Lorenzo Forni & Andrew Harvey & Fabrizio Venditti, 2007.
"Inflation Convergence and Divergence within the European Monetary Union,"
International Journal of Central Banking,
International Journal of Central Banking, vol. 3(2), pages 95-121, June.
- Busetti, Fabio & Forni, Lorenzo & Harvey, Andrew & Venditti, Fabrizio, 2006. "Inflation convergence and divergence within the European Monetary Union," Working Paper Series 0574, European Central Bank.
- Emma SARNO & Alberto ZAZZARO, 2003. "Structural Convergence of Macroeconomic Time Series: Evidence for Inflation Rates in EU Countries," Working Papers 180, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Bernard, Andrew B. & Durlauf, Steven N., 1996. "Interpreting tests of the convergence hypothesis," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 161-173.
- Andrew B. Bernard & Steven N. Durlauf, 1994. "Interpreting Tests of the Convergence Hypothesis," NBER Technical Working Papers 0159, National Bureau of Economic Research, Inc.
- Bernard, A.B. & Durlauf, S.N., 1994. "Interpreting Tests of the Convergence Hypothesis," Working papers 9401r, Wisconsin Madison - Social Systems.
- Benigno, Pierpaolo, 2004. "Optimal monetary policy in a currency area," Journal of International Economics, Elsevier, vol. 63(2), pages 293-320, July.
- Benigno, Pierpaolo, 2001. "Optimal Monetary Policy in a Currency Area," CEPR Discussion Papers 2755, C.E.P.R. Discussion Papers.
- Angeloni Ignazio & Ehrmann Michael, 2007. "Euro Area Inflation Differentials," The B.E. Journal of Macroeconomics, De Gruyter, vol. 7(1), pages 1-36, August.
- Angeloni, Ignazio & Ehrmann, Michael, 2004. "Euro area inflation differentials," Working Paper Series 0388, European Central Bank.
- Maharaj, E.A., 1994. "A Significance Test for Classifying ARMA Models," Monash Econometrics and Business Statistics Working Papers 18/94, Monash University, Department of Econometrics and Business Statistics.
- Mojon, Benoît & Peersman, Gert, 2001. "A VAR description of the effects of monetary policy in the individual countries of the euro area," Working Paper Series 0092, European Central Bank.
- Hall, Stephen G & Robertson D & Wickens, M R, 1997. "Measuring Economic Convergence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(2), pages 131-143, April.
- Meese, Richard & Geweke, John, 1984. "A Comparison of Autoregressive Univariate Forecasting Procedures for Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(3), pages 191-200, July.
- Kirstin Hubrich & Guenter Beck & Massimiliano Marcellino, "undated". "Regional Inflation Dynamics within and across Euro Area Countries and a Comparison with the US," Regional and Urban Modeling 283600037, EcoMod.
- Beck, Günter W. & Hubrich, Kirstin & Marcellino, Massimiliano, 2006. "Regional inflation dynamics within and across euro area countries and a comparison with the US," CFS Working Paper Series 2007/01, Center for Financial Studies (CFS).
- Beck, Günter W. & Hubrich, Kirstin & Marcellino, Massimiliano, 2006. "Regional inflation dynamics within and across euro area countries and a comparison with the US," Working Paper Series 0681, European Central Bank.
- MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-618, Nov.-Dec..
- James G. MacKinnon, 1995. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Working Papers 918, Queen's University, Department of Economics.
- Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
- Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-263, July.
- Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
- Tom Doan, "undated". "DMARIANO: RATS procedure to compute Diebold-Mariano Forecast Comparison Test," Statistical Software Components RTS00055, Boston College Department of Economics.
- Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 461-470, October.
- Francisco J. MartÎn-âlvarez & Victor J. Cano-FernÂndez & JosÊ J. CÂceres-HernÂndez, 1999. "The introduction of seasonal unit roots and cointegration to test index aggregation optimality: An application to a Spanish farm price index," Empirical Economics, Springer, vol. 24(3), pages 403-414.
- Mentz, Markus & Sebastian, Steffen P., 2003. "Inflation convergence after the introduction of the Euro," CFS Working Paper Series 2003/30, Center for Financial Studies (CFS).
- Caiado, Jorge & Crato, Nuno & Pena, Daniel, 2006. "A periodogram-based metric for time series classification," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2668-2684, June.
- Mark Holmes, 1998. "Inflation Convergence in the ERM: Evidence for Manufacturing and Services," International Economic Journal, Taylor & Francis Journals, vol. 12(3), pages 1-16.
- Mark Holmes, 2002. "Panel data evidence on inflation convergence in the European Union," Applied Economics Letters, Taylor & Francis Journals, vol. 9(3), pages 155-158. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:anc:wpaper:289. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maurizio Mariotti)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.