Evidence of Inflation Using Harmonized Consumer Price Indices in Some Euro Countries: France, Germany, Italy, and Spain, along with the Euro Zone

Raquel Ayestarán, Juan Infante, Juan José Tenorio and Luis Gil-Alana
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Raquel Ayestarán: Faculty of Legal and Business Sciences, Universidad Francisco de Vitoria, 28223 Madrid, Spain
Juan Infante: Faculty of Social Sciences, Universidad Villanueva, 28034 Madrid, Spain
Juan José Tenorio: Faculty of Business, Economics, and Law, Cunef Universidad, 28040 Madrid, Spain

Mathematics, 2023, vol. 11, issue 10, 1-12

Abstract: This paper deals with the analysis of the persistence in the Harmonized Indices of Consumer Prices in France, Germany, Italy, and Spain. The degree of persistence is measured through fractional integration or I (d) techniques, using monthly data from January 2010 to February 2023. We first conducted the analysis with data ending in December 2019, that is, with data prior to the COVID-19 pandemic. Then, we extended the sample, first up to December 2021 and finally to February 2023. Our results show that the findings of our series are highly persistent, with values of the differencing parameter about one or higher than one in the majority of cases. In fact, mean reversion is only observed in the case of Germany with pre-pandemic data. Generally, we observed an increase in the degree of persistence of the series as a consequence of both the COVID-19 pandemic and the Russia–Ukraine war, with the only exception being Spain, where we observe a reduction in the order of integration when including 2022–2023 data.

Keywords: Euro area; inflation rates; long memory; fractional integration; time trends (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
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