Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25397
Authors: 
Mentz, Markus
Sebastian, Steffen P.
Year of Publication: 
2003
Series/Report no.: 
CFS Working Paper 2003/30
Abstract: 
Using the Johansen test for cointegration, we examine to which extent inflation rates in the Euro area have converged after the introduction of a single currency. Since the assumption of non-stationary variables represents the pivotal point in cointegration analyses we pay special attention to the appropriate identification of non-stationary inflation rates by the application of six different unit root tests. We compare two periods, the first ranging from 1993 to 1998 and the second from 1993 to 2002 with monthly observations. The Johansen test only finds partial convergence for the former period and no convergence for the latter.
Subjects: 
Unit root
Cointegration
Inflation convergence
JEL: 
C32
E31
F15
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
259.84 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.