|
| |
| Guglielmo Maria Caporale, Juan Infante, Luis Gil-Alana and Raquel Ayestaran |
| |
| ''Inflation persistence in Europe: the effects of the covid-19 pandemic and of the Russia-Ukraine war'' |
| ( 2023, Vol. 43 No.1 ) |
| |
| |
|
This note analyses the possible effects of the Covid-19 pandemic and of the Russia-Ukraine war on the degree of inflation persistence in both the euro zone and the European Union as a whole (EU27). For this purpose a fractional integration model is estimated, first for the full sample and then using recursive and rolling methods. Although the two latter methods provide evidence of a significant increase in inflation persistence (at least in the case of the EU27, for which in addition to jumps an upward trend is clearly identifiable), the full-sample results imply long-lasting but only temporary effects of the two shocks being examined. These findings suggest that the required policy response to both shocks should also have a temporary nature.
|
| |
| |
| Keywords: Inflation persistence, fractional integration, recursive estimation, Covid-19 pandemic, Russia-Ukraine war |
JEL: E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
C5 - Econometric Modeling: General |
| |
| Manuscript Received : Oct 31 2022 | | Manuscript Accepted : Mar 30 2023 |
|
