Is price dynamics homogeneous across Eurozone countries?

David Guerreiro, Marc Joëts () and Valérie Mignon ()
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David Guerreiro: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
Marc Joëts: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

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Abstract: 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)
Date: 2012
Note: View the original document on HAL open archive server: https://hal.science/hal-04141137
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Related works:
Journal Article: Is Price Dynamics Homogeneous Across Eurozone Countries? (2012)
Working Paper: Is price dynamics homogeneous across Eurozone countries? (2012)
Working Paper: Is price dynamics homogeneous across Eurozone countries? (2012)
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