Time-varying inflation persistence in the Euro area

被引:21
作者
Beechey, Meredith [2 ]
Osterholm, Par [1 ]
机构
[1] Natl Inst Econ Res, S-10362 Stockholm, Sweden
[2] Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA
关键词
Monetary policy; Central bank preferences; PRICES; POLICY;
D O I
10.1016/j.econmod.2008.11.001
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper investigates how inflation persistence in the Euro area has evolved between 1991 and 2006. Employing an ARMA(1,11) model with time-varying autoregressive parameter, we find that inflation persistence has fallen markedly since the third stage of the EMU began in January 1999 and inflation no longer exhibits unit-root behaviour. (C) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码:532 / 535
页数:4
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