Article ID Journal Published Year Pages File Type
5055358 Economic Modelling 2009 4 Pages PDF
Abstract

This paper investigates how inflation persistence in the Euro area has evolved between 1991 and 2006. Employing an ARMA(1,11) model with time-varying autoregressive parameter, we find that inflation persistence has fallen markedly since the third stage of the EMU began in January 1999 and inflation no longer exhibits unit-root behaviour.

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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Time-varying inflation persistence in the Euro area
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