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Inflation persistence in the Euro area before and after the European Monetary Union

Barbara Meller and Dieter Nautz ()

Economic Modelling, 2012, vol. 29, issue 4, 1170-1176

Abstract: This paper provides new evidence on inflation persistence before and after the European Monetary Union (EMU). Taking into account fractional integration of inflation, we confirm that inflation dynamics differed considerably across Euro area countries before the start of EMU. Since 1999, however, results obtained from panel estimation indicate that the degree of long run inflation persistence has converged. In line with theoretical predictions, we find that the persistence of inflation has significantly decreased in the Euro area, probably as a result of the more effective monetary policy of the ECB.

Keywords: Monetary policy effectiveness and inflation persistence; Panel test for fractional integration; Change in inflation persistence (search for similar items in EconPapers)
JEL-codes: C22 C23 E31 (search for similar items in EconPapers)
Date: 2012
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