Is Price Dynamics Homogeneous Across Eurozone Countries?

Valérie Mignon (), David Guerreiro and Marc Joëts

Journal of Economic Integration, 2012, vol. 27, 609-632

Abstract: The aim of this paper is to investigate whether price dynamics is homogeneous across the Eurozone countries. Relying on monthly data over the January 1970~July 2011 period, we test for the absolute purchasing power parity (PPP) hypothesis through the implementation of second and third-generation panel unit root and cointegration tests. Our results show that price dynamics are heterogeneous depending on both the time period and the considered group of countries. More specifically, while PPP is validated for the core Economic Monetary Union (EMU) countries, this hypothesis does not hold for Northern peripheral economies. Turning to the Southern countries, PPP is observed only before the launch of the euro.

Keywords: Price Convergence; Eurozone; Panel Unit Root Tests; Half-Life (search for similar items in EconPapers)
JEL-codes: C23 E31 F15 F41 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Is price dynamics homogeneous across Eurozone countries? (2012)
Working Paper: Is price dynamics homogeneous across Eurozone countries? (2012)
Working Paper: Is price dynamics homogeneous across Eurozone countries? (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0588

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