Price and wage inflation persistence across countries and monetary regimes

Giovanni Di Bartolomeo (), Marco Di Pietro () and Elton Beqiraj

Journal of International Money and Finance, 2020, vol. 109, issue C

Abstract: We augmented a macro-model with intrinsic-inflation inertia assuming that prices farer in the past are more likely to be reset. We estimated the model for seven industrialized economies to compare their price/wage structures and to explore the potential nexus between changes the price/wage structure and changes in policy stances. We find evidence for duration-dependent-price adjustments in all the country of the sample. Although positively sloped, after few periods, price-hazard functions often become flat as in Calvo-based models. Instead, wage-hazard shapes are in line with Taylor contracts with the exceptions of France and the United Kingdom. Country comparison shows that price and wage stickiness are correlated. Regarding monetary policy stances, no systematic effect is found. Observed changes are explained by country-specific factors (e.g., market reforms).

Keywords: Duration-dependent adjustments; Intrinsic inflation persistence; DSGE models; Hybrid Phillips curves; Great Moderation (search for similar items in EconPapers)
JEL-codes: C11 E31 E32 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560620302114
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Price and wage inflation persistence across countries and monetary regimes (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620302114

DOI: 10.1016/j.jimonfin.2020.102255

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().