Inflation and the Markup in the Euro Area
The paper implements a consistent empirical strategy in order to investigate the behaviour of the markup over the cycle and its contribution to inflation movements. We model the price series as I(2) components and use polynomial cointegration in order to recover a long-run price schedule. We do not reject statistically the reduction of the I(2) framework to an I(1) model as from the mid 1980s. We observe that the markup in fairly counter-cyclical and has a permanent effect on inflation through an error-correcting mechanism. Structural and forecasting equations exhibiting good performance are therefore estimated.
|Date of creation:||2004|
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- Johansen, Søren, 1995.
"A Stastistical Analysis of Cointegration for I(2) Variables,"
Cambridge University Press, vol. 11(01), pages 25-59, February.
- Johansen, S., 1991. "A Statistical Analsysis of Cointegration for I(2) Variables," Papers 77, Helsinki - Department of Economics.
- Anindya Banerjee & Lynne Cockerell & Bill Russell, 2000.
"An I(2) Analysis of Inflation and the Markup,"
Dundee Discussion Papers in Economics
120, Economic Studies, University of Dundee.
- Banerjee, Anindya & Russell, Bill, 2004. "A reinvestigation of the markup and the business cycle," Economic Modelling, Elsevier, vol. 21(2), pages 267-284, March.
- Gordon De Brouwer & Neil R. Ericsson, 1995.
"Modelling inflation in Australia,"
International Finance Discussion Papers
530, Board of Governors of the Federal Reserve System (U.S.).
- Anindya Banerjee & Bill Russell, 2000. "The Relationship between the Markup and Inflation in the G7 Economies and Australia," Dundee Discussion Papers in Economics 119, Economic Studies, University of Dundee.
- Johansen, Søren, 1992. "A Representation of Vector Autoregressive Processes Integrated of Order 2," Econometric Theory, Cambridge University Press, vol. 8(02), pages 188-202, June.
- Mustapha Baghli & Gilbert Cette & Arnaud Sylvain, 2003.
"Les déterminants du taux de marge en France et quelques autres grands pays industrialisés : analyse empirique sur la période 1970-2000,"
Économie et Prévision,
Programme National Persée, vol. 158(2), pages 1-25.
- Mustapha Baghli & Gilbert Cette & Arnaud Sylvain, 2003. "Les déterminants du taux de marge en France et quelques autres grands pays industrialisés : analyse empirique sur la période. 1970-2000," Economie & Prévision, La Documentation Française, vol. 158(2), pages 1-25.
- Baghli, M. & Cette, G. & Arnaud, S., 2003. "Les déterminants du taux de marge en France et quelques autres grands pays industrialisés : Analyse empirique sur la période 1970-2000," Working papers 099, Banque de France.
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