Time-varying inflation persistence in the Euro area

被引：21

作者：

Beechey, Meredith ^{[2
]}

Osterholm, Par ^{[1
]}

机构：

[1] Natl Inst Econ Res, S-10362 Stockholm, Sweden

[2] Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA

来源：

ECONOMIC MODELLING | 2009年 / 26卷 / 02期

关键词：

Monetary policy; Central bank preferences; PRICES; POLICY;

D O I：

10.1016/j.econmod.2008.11.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates how inflation persistence in the Euro area has evolved between 1991 and 2006. Employing an ARMA(1,11) model with time-varying autoregressive parameter, we find that inflation persistence has fallen markedly since the third stage of the EMU began in January 1999 and inflation no longer exhibits unit-root behaviour. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：532 / 535

页数：4