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Inflation persistence under semi-fixed exchange rate regimes: the European evidence 1974-1998

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  • Kool, C.J.M.

    (Macro, International & Labour Economics)

  • Lammertsma, A.

    (Externe publicaties SBE)

Abstract

In this paper, we empirically investigate the link between exchange rate accommodation and inflation persistence in Europe. We introduce the lagged level of the real exchange rate as an appropriate indicator of exchange rate accommodation. We correspondingly estimate a non-linear autoregressive inflation equation for ten European countries (excluding Germany) for the period 1974:1–1998:2. In the estimation procedure we allow for the presence of an unknown number of shifts in the mean of inflation. Overall, our results provide modest support for the existence of the theoretically hypothesized link between exchange rate accommodation and inflation persistence. Copyright Springer Science + Business Media, Inc. 2005
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Suggested Citation

  • Kool, C.J.M. & Lammertsma, A., 2002. "Inflation persistence under semi-fixed exchange rate regimes: the European evidence 1974-1998," Research Memorandum 015, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    • Handle: RePEc:unm:umamet:2002015
    DOI: 10.26481/umamet.2002015
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    2. Guisinger, Alexandra & Singer, David Andrew, 2010. "Exchange Rate Proclamations and Inflation-Fighting Credibility," International Organization, Cambridge University Press, vol. 64(2), pages 313-337, April.
    3. David Mautin Oke & Koye Gerry Bokana & Adebowale Soluade, 2017. "Re-examining Exchange Rate Regimes and Inflation Nexus: An ARDL Analysis for Nigerian Case," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 13(6), pages 253-266, DECEMBER.

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