Inflation Persistence in the European Union, the Euro Area, and the United States

54 Pages Posted: 20 Dec 2004

See all articles by Grégory Gadzinski

Grégory Gadzinski

University of Cologne; University of Angers - Research Group in Quantitative Saving (GREQAM)

Fabrice Orlandi

European Central Bank (ECB)

Date Written: November 2004

Abstract

In this paper we report results on inflation persistence using 79 inflation series covering the EU countries, the euro area and the US for five different inflation variables. The picture that emerges is one of moderate inflation persistence across the board. In particular we find euro area inflation persistence to be broadly in line with US inflation persistence. The issue of allowing for intercept dummies in the underlying inflation models is found to be of paramount importance to avoid overestimation of the level of persistence. The use of alternative measures of persistence is found to be commendable on the grounds that they complement each other in practice.

Keywords: Inflation dynamics, structural change, median unbiased estimates

JEL Classification: E31, E52, C22, C12

Suggested Citation

Gadzinski, Grégory and Orlandi, Fabrice, Inflation Persistence in the European Union, the Euro Area, and the United States (November 2004). Available at SSRN: https://ssrn.com/abstract=617807

Grégory Gadzinski

University of Cologne ( email )

Albertus-Magnus-Platz
Cologne, 50923
Germany

University of Angers - Research Group in Quantitative Saving (GREQAM)

Centre de la Vieille Charité
2, rue de la Charité
Marseille, 13002
France

Fabrice Orlandi (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
+49 69 1344 7222 (Phone)
+49 69 1344 6353 (Fax)

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