Has Euro-area inflation persistence changed over time?

Gerard O'Reilly and Karl Whelan ()

Open Access publications from School of Economics, University College Dublin

Abstract: This paper analyzes the stability over time of the econometric process for euro-area inflation since 1970, focusing in particular on the behavior of the so-called persistence parameter (the sum of the coefficients on the lagged dependent variables). Perhaps surprisingly, in light of the Lucas critique, our principal finding is that there appears to be relatively little instability in the parameters of the euro-area inflation process. Full-sample estimates of the persistence parameter are generally close to 1, and we fail to reject the hypothesis that this parameter has been stable over time. We discuss how these results provide some indirect evidence against rational expectations models with strong forward-looking elements, such as the New Keynesian Phillips curve.

Keywords: Inflation (Finance)--Europe; Rational expectations (Economic theory); Inflation (Finance)--Mathematical models (search for similar items in EconPapers)
Pages: 12 pages
Date: 2005-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (57)

Published in: Review of Economics and Statistics, 87(4) 2005-11

Downloads: (external link)
http://hdl.handle.net/10197/211 Open Access version, 2005 (application/pdf)

Related works:
Journal Article: Has Euro-Area Inflation Persistence Changed Over Time? (2005)
Working Paper: Has Euro-Area Inflation Persistence Changed Over Time? (2004)
Working Paper: Has euro-area inflation persistence changed over time? (2004)
Working Paper: Has Euro-area inflation persistence changed over time? (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucn:oapubs:10197/211

Access Statistics for this paper

More papers in Open Access publications from School of Economics, University College Dublin Contact information at EDIRC.
Bibliographic data for series maintained by Nicolas Clifton ().