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Mean reversion and sales

Patrick Lunnemann and Thomas Mathä ()

Applied Economics Letters, 2009, vol. 16, issue 12, 1271-1275

Abstract: This article analyses the degree of inflation persistence in the EU15 using disaggregate HICP price indices. The results, based on a nonparametric measure proposed by Marques (2004) suggest a very moderate degree of median and mean inflation persistence. The modified treatment of sales in the Harmonised Index of Consumer Prices tends to reduce the measured degree of inflation persistence.

Date: 2009
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DOI: 10.1080/13504850701719876

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Handle: RePEc:taf:apeclt:v:16:y:2009:i:12:p:1271-1275