Inflation persistence in Europe: The effects of the Covid-19 pandemic and of the Russia-Ukraine war

Guglielmo Maria Caporale, Juan Infante (), Luis Gil-Alana and Raquel Ayestaran ()
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Juan Infante: Universidad Villabueva
Raquel Ayestaran: Universidad Francisco de Vitoria

Economics Bulletin, 2023, vol. 43, issue 1, 137 - 145

Abstract: This note analyses the possible effects of the Covid-19 pandemic and of the Russia-Ukraine war on the degree of inflation persistence in both the euro zone and the European Union as a whole (EU27). For this purpose a fractional integration model is estimated, first for the full sample and then using recursive and rolling methods. Although the two latter methods provide evidence of a significant increase in inflation persistence (at least in the case of the EU27, for which in addition to jumps an upward trend is clearly identifiable), the full-sample results imply long-lasting but only temporary effects of the two shocks being examined. These findings suggest that the required policy response to both shocks should also have a temporary nature.

Keywords: Inflation persistence; fractional integration; recursive estimation; Covid-19 pandemic; Russia-Ukraine war (search for similar items in EconPapers)
JEL-codes: C5 E3 (search for similar items in EconPapers)
Date: 2023-03-30
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Working Paper: Inflation Persistence in Europe: The Effects of the Covid-19 Pandemic and of the Russia-Ukraine War (2022)
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