Testing similarities of short-run inflation dynamics among EU countries after the Euro

Giulio Palomba (), Emma Sarno and Alberto Zazzaro ()
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Emma Sarno: [n.a.]

No 289, Working Papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali

Abstract: In this paper we introduce new definitions of pairwise and multivariate similarity between short-run dynamics of inflation rates in terms of equality of forecast functions and show that in the context of invertible ARIMA processes the Autoregressive distance introduced by Piccolo (1990) is a useful measure to evaluate such similarity. Then, we study the similarity of shortrun inflation dynamics across EU-15 area countries during the Euro period. Consistent with studies on inflation differentials and inflation persistence, our findings suggest that after seven years from the launch of the Euro the degree of similarity of short-run inflation dynamics across EU countries is still weak.

Keywords: Euro; autoregressive metric; inflation dynamics (search for similar items in EconPapers)
JEL-codes: C23 E31 (search for similar items in EconPapers)
Pages: 37
Date: 2007-06
New Economics Papers: this item is included in nep-cba, nep-eec, nep-for, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:anc:wpaper:289

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