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Revisiting inflation in the euro area allowing for long memory

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Publication details

JournalEconomics Letters
DateAccepted/In press - 23 Apr 2017
DateE-pub ahead of print - 25 Apr 2017
DatePublished (current) - Jul 2017
Volume156
Number of pages6
Pages (from-to)145-150
Early online date25/04/17
Original languageEnglish

Abstract

We analyse inflation and inflation differentials in the euro area allowing for long memory and a new type of limiting theory denoted fixed-bandwidth. Our results differ from the traditional ones based on standard normal asymptotics and the short memory assumption, and we also find that the inflation differentials between “core” and “peripheral” countries are strongly persistent. “Core” economies
appear to have less persistent differentials and may be more integrated, while “peripheral” countries with high inflation may find themselves under competitive pressure for a long time.

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© 2017 Elsevier B.V. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.

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