Arbeitspapier
How persistent is disaggregate inflation? An analysis across EU 15 countries and HICP sub-indices
This paper analyses the degree of inflation persistence in the EU15, the euro area and each of its member states using disaggregate price indices from the Harmonised Index of Consumer Prices. Our results reveal substantial heterogeneity across countries and indices. The overall results, based on both parametric and non-parametric persistence measures, suggest a very moderate degree of median and mean inflation persistence. For most price indices we are able to reject the unit root hypothesis, as well as the notion of disaggregate inflation exhibiting a high degree of persistence. Durable goods and services tend to be relatively less persistent than other indices. Aggregation effects, both across indices and countries, tend to be present. We find structural breaks both owing to the change in the monetary regime and to the modified treatment of sales in the official HICP series. The latter tends to reduce the measured degree of inflation persistence.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 415
Price Level; Inflation; Deflation
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Semiparametric and Nonparametric Methods: General
Inflation persistence
Mean reversion
structural breaks
Mathä, Thomas Y.
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lünnemann, Patrick
- Mathä, Thomas Y.
- European Central Bank (ECB)
Entstanden
- 2004
Ähnliche Objekte (12)
What Explains Persistent Inflation Differentials Across Transition Economies?
What Explains Persistent Inflation Differentials Across Transition Economies?
Estimating inflation expectation co-movement across countries
Inflation dynamics : comparison across countries and time
Explaining Differences in Pandemic Inflation across Countries
The causes of persistent inflation in Nigeria
Expected inflation, sunspots equilibria and persistent unemployment fluctuations
Expected inflation, sunspots equilibria and persistent unemployment fluctuations
Spatiotemporal analysis of inflation in euro zone countries
Meritocracy across Countries
Determinants of inflation and price level differentials across the euro area countries
The common and speci fic components of inflation expectation across European countries
What Explains Persistent Inflation Differentials Across Transition Economies?
What Explains Persistent Inflation Differentials Across Transition Economies?
Estimating inflation expectation co-movement across countries
Inflation dynamics : comparison across countries and time
Explaining Differences in Pandemic Inflation across Countries
The causes of persistent inflation in Nigeria
Expected inflation, sunspots equilibria and persistent unemployment fluctuations
Expected inflation, sunspots equilibria and persistent unemployment fluctuations
Spatiotemporal analysis of inflation in euro zone countries
Meritocracy across Countries
Determinants of inflation and price level differentials across the euro area countries
The common and speci fic components of inflation expectation across European countries
What Explains Persistent Inflation Differentials Across Transition Economies?
What Explains Persistent Inflation Differentials Across Transition Economies?
Estimating inflation expectation co-movement across countries
Inflation dynamics : comparison across countries and time
Explaining Differences in Pandemic Inflation across Countries
The causes of persistent inflation in Nigeria
Expected inflation, sunspots equilibria and persistent unemployment fluctuations
Expected inflation, sunspots equilibria and persistent unemployment fluctuations
Spatiotemporal analysis of inflation in euro zone countries
Meritocracy across Countries
Determinants of inflation and price level differentials across the euro area countries