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Structural Breaks in Inflation Dynamics within the European Monetary Union

Thomas Windberger () and Achim Zeileis ()

Working Papers from Faculty of Economics and Statistics, University of Innsbruck

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.

Keywords: inflation rate; structural break; EMU; generalized logistic distribution (search for similar items in EconPapers)
JEL-codes: E31 C22 C52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
Date: 2011-06
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Persistent link: http://EconPapers.repec.org/RePEc:inn:wpaper:2011-12

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