Arbeitspapier
A markup model of inflation for the euro area
Equilibrium correction models of the price level are often used to model inflation. Such models assume that the long-run markup of prices over costs is fixed, but this may not be true for the Euro area economy, which has undergone major structural reforms over the last 25 years. We allow for shifts in the markup factor through estimating an equation that includes a timevarying intercept. The model fits the data better than a linear alternative, and suggests that a reduction in the price-cost markup contributed to disinflation in the Euro area during the 1980s.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 306
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Price Level; Inflation; Deflation
- Subject
-
cointegration
dynamic modelling
inflation
price-cost markup
time-varying intercept
- Event
-
Geistige Schöpfung
- (who)
-
Bowdler, Christopher
Jansen, Eilev S.
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bowdler, Christopher
- Jansen, Eilev S.
- European Central Bank (ECB)
Time of origin
- 2004
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Euro area inflation persistence
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Testing for a Time-Varying Price-Cost Markup in the Euro Area Inflation Process
Euro area inflation persistence
Euro area inflation persistence
Euro area inflation differentials
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Inflation and inflation uncertainty in the euro area
Inflation and inflation uncertainty in the Euro Area
Inflation and inflation uncertainty in the euro area
Inflation and inflation uncertainty in the euro area
Euro area inflation persistence in an estimated nonlinear DSGE model