Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/73475
Authors: 
Windberger, Thomas
Zeileis, Achim
Year of Publication: 
2011
Series/Report no.: 
Working Papers in Economics and Statistics 2011-12
Abstract: 
To assess the effects of the EMU on inflation rate dynamics of its member states, the inflation rate series for 21 European countries are investigated for structural changes. To capture changes in mean, variance, and skewness of inflation rates, a generalized logistic model is adopted and complemented with structural break tests and breakpoint estimation techniques. These reveal considerable differences in the patterns of inflation dynamics and the structural changes therein. Overall, there is a convergence towards a lower mean inflation rate with reduced skewness, but it is accompanied by an increase in variance.
Subjects: 
inflation rate
structural break
EMU
generalized logistic distribution
JEL: 
E31
C22
C52
Document Type: 
Working Paper

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