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Testing similarities of short-run inflation dynamics among EU countries after the Euro

Author

Listed:
  • Giulio PALOMBA

    ([n.a.])

  • Emma SARNO

    ([n.a.])

  • Alberto ZAZZARO

    () (Universita' Politecnica delle Marche, Dipartimento di Economia)

Abstract

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.

Suggested Citation

  • Giulio PALOMBA & Emma SARNO & Alberto ZAZZARO, 2007. "Testing similarities of short-run inflation dynamics among EU countries after the Euro," Working Papers 289, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    • Handle: RePEc:anc:wpaper:289
    as

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    File URL: http://docs.dises.univpm.it/web/quaderni/pdf/289.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Euro; autoregressive metric; inflation dynamics;

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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