Revisiting inflation in the euro area allowing for long memory

被引：3

作者：

Hualde, Javier ^{[1
]}

Iacone, Fabrizio ^{[2
]}

机构：

[1] Univ Publ Navarra, Pamplona, Navarra, Spain

[2] Univ York, York, N Yorkshire, England

来源：

ECONOMICS LETTERS | 2017年 / 156卷

关键词：

Inflation persistence; Inflation differentials; Euro area; Fractional integration and cointegration; TIME-SERIES; DIFFERENTIALS; ASYMPTOTICS; TESTS;

D O I：

10.1016/j.econlet.2017.04.025

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We analyse inflation and inflation differentials in the euro area allowing for long memory and a new type of limiting theory denoted fixed-bandwidth. Our results differ from those based on standard normal asymptotics and the short memory assumption, and we also find that the inflation differentials between "core" and "peripheral" countries are strongly persistent. "Core" economies appear to have less persistent differentials and may be more integrated, while "peripheral" countries with high inflation may find themselves under competitive pressure for a long time. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：145 / 150

页数：6

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