Revisiting inflation in the euro area allowing for long memory
Fecha
2017Versión
Acceso abierto / Sarbide irekia
Tipo
Artículo / Artikulua
Versión
Versión aceptada / Onetsi den bertsioa
Impacto
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10.1016/j.econlet.2017.04.025
Resumen
We analyse inflation and inflation differentials in the euro area allowing for long memory and a new type of limiting theory denoted fixed-bandwidth. Our results differ from those based on standard normal asymptotics and the short memory assumption, and we also find that the inflation differentials between 'core' and 'peripheral' countries are strongly persistent. 'Core' economies appear to have ...
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We analyse inflation and inflation differentials in the euro area allowing for long memory and a new type of limiting theory denoted fixed-bandwidth. Our results differ from those based on standard normal asymptotics and the short memory assumption, and we also find that the inflation differentials between 'core' and 'peripheral' countries are strongly persistent. 'Core' economies appear to have less persistent differentials and may be more integrated, while 'peripheral' countries with high inflation may find themselves under competitive pressure for a long time. [--]
Materias
Inflation persistence,
Inflation differentials,
Euro area,
Fractional integration and cointegration
Editor
Elsevier
Publicado en
Economics Letters, 2017, 156, 145-150
Departamento
Universidad Pública de Navarra. Departamento de Economía /
Nafarroako Unibertsitate Publikoa. Ekonomia Saila
Versión del editor
Entidades Financiadoras
Javier Hualde’s research is supported by the Spanish Ministerio de Economía y Competitividad through project ECO2015-64330-P.