Does European Monetary Union make inflation dynamics more uniform?

Stefano Iacus (siacus@iq.harvard.edu) and Giuseppe Porro

Departmental Working Papers from Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano

Abstract: Using a nonparametric method to characterize Markovian operators, we describe the evolution of the short-run inflation processes among the EMU countries between 1996 and 2012. While a progressive clustering pattern can be outlined in the first half of the period - showing that the monetary union makes price dynamics more homogeneous - starting from 2004 an increase in price volatility makes the clustering pattern unstable, as the analysis of the changing points of the inflation processes confirms.

Keywords: inflation dynamics; EMU; Markov process; cluster analysis (search for similar items in EconPapers)
JEL-codes: C22 C38 E31 (search for similar items in EconPapers)
Date: 2013-06-29
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Journal Article: Does European Monetary Union make inflation dynamics more uniform? (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:mil:wpdepa:2013-12

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