Is price dynamics homogeneous across Eurozone countries?
David Guerreiro (),
Marc Joëts and
Valérie Mignon ()
No 2012-4, EconomiX Working Papers from University of Paris Nanterre, EconomiX
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-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 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)
Pages: 25 pages
New Economics Papers: this item is included in nep-eec, nep-eur, nep-mon and nep-opm
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Journal Article: 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:drm:wpaper:2012-4
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