Inflation Convergence in Central and Eastern Europe vs. The Eurozone: Non‐Linearities and Long Memory

20 Pages Posted: 4 Oct 2016

See all articles by Juan Carlos Cuestas

Juan Carlos Cuestas

University of Sheffield

Luis A. Gil-Alana

University of Navarra - Department of Economics

Karl Taylor

University of Sheffield - Department of Economics

Date Written: November 2016

Abstract

In this paper, we consider inflation rate differentials between seven Central and Eastern European Countries (CEECs) and the Eurozone. We test for convergence in the inflation rate differentials, incorporating non‐linearities in the autoregressive parameters, fractional integration with endogenous structural changes, and also consider club convergence analysis for the CEECs over the period 1997 to 2015 based on monthly data. Our empirical findings suggest that the majority of countries experience non‐linearities in the inflation rate differential; however, there is only evidence of a persistent difference in some countries. Complementary to this analysis we apply the Phillips and Sul (2007) test for club convergence and find that there is evidence that most of the CEECs converge to a common steady state.

Suggested Citation

Cuestas, Juan Carlos and Gil-Alana, Luis A. and Taylor, Karl B., Inflation Convergence in Central and Eastern Europe vs. The Eurozone: Non‐Linearities and Long Memory (November 2016). Scottish Journal of Political Economy, Vol. 63, Issue 5, pp. 519-538, 2016, Available at SSRN: https://ssrn.com/abstract=2847413 or http://dx.doi.org/10.1111/sjpe.12114

Juan Carlos Cuestas (Contact Author)

University of Sheffield

17 Mappin Street
Sheffield, Sheffield S1 4DT
United Kingdom

Luis A. Gil-Alana

University of Navarra - Department of Economics ( email )

Campus de Arrosadia
Pamplona, 31006
Spain

Karl B. Taylor

University of Sheffield - Department of Economics ( email )

9 Mappin Street
Sheffield, S1 4DT
United Kingdom

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
1
Abstract Views
118
PlumX Metrics