Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152849
Authors: 
Lünnemann, Patrick
Mathä, Thomas Y.
Year of Publication: 
2004
Series/Report no.: 
ECB Working Paper 415
Abstract: 
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.
Subjects: 
Aggregation effect
Inflation persistence
Mean reversion
structural breaks
JEL: 
E31
C21
C22
C14
Document Type: 
Working Paper

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