Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/314265 
Year of Publication: 
2024
Citation: 
[Journal:] Journal of Applied Economics [ISSN:] 1667-6726 [Volume:] 27 [Issue:] 1 [Article No.:] 2329857 [Year:] 2024 [Pages:] 1-16
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This paper analyses monthly price persistence in the EU27 countries over the period 2010-2022 using a fractional integration framework, where the measure of persistence is the fractional differencing parameter d. In addition to full sample estimates, subsample and recursive ones are obtained to examine time variation. On the whole, the results provide clear evidence that both the exogenous shocks considered (namely, the COVID-19 pandemic and the Russia-Ukraine war) have generally increased price persistence in the EU27 (despite their heterogeneity), although the recursive estimates suggest that their impact might have peaked and might now be decreasing. Therefore, any policies adopted to counteract those shocks should be gradually phased out. The exceptions are the Southern European countries, where price persistence appears to have decreased, though in Italy the recursive analysis indicates that it is now rising sharply.
Subjects: 
COVID-19 pandemic
fractional integration
Price persistence
Russia-Ukraine war
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article

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