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

No 10071, CESifo Working Paper Series from CESifo

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 using the full sample and then recursively. Although the recursive analysis provides clear evidence of a significant increase in inflation persistence (especially 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: C22 E31 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-cba, nep-cis, nep-eec, nep-mon and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Journal Article: Inflation persistence in Europe: The effects of the Covid-19 pandemic and of the Russia-Ukraine war (2023)
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