Break in the mean and persistence of inflation: a sectoral analysis of French CPI

Laurent Bilke

No 463, Working Paper Series from European Central Bank

Abstract: This paper uses disaggregated CPI time series to show that a break in the mean of French inflation occurred in the mid-eighties and that the 1983 monetary policy shift mostly accounted for it. CPI average yearly growth declined from nearly 11% before the break date (May 1985) to 2.1% after. No other break in the 1973-2004 sample period can be found. Controlling for this mean break, both aggregate and sectoral inflation persistence are stable and low, with the unit root lying far in the tail of the persistence estimates. However, persistence differs dramatically across sectors. Finally, the duration between two price changes (at the firm level) appears positively related with inflation persistence (at the aggregate level). JEL Classification: E31, C12, C22

Keywords: inflation persistence; monetary policy; multiple breaks test; sectoral prices (search for similar items in EconPapers)
Date: 2005-03
Note: 391091
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Citations: View citations in EconPapers (43)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2005463

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