Unraveling the Dynamics of Inflation Persistence: A Long-Memory Analysis of Headline Inflation Convergence and Divergence in European Economies

• Autorzy: Marinko Skare , Beata Gavurova , Dean Sinkovic
• Języki publikacji: EN

Abstrakty

EN

This comprehensive study delves into the Harmonised Consumer Price Index (HCPI) behavior across European economies from the early 2000s to the post-pandemic period. By analyzing the patterns of convergence and divergence in HCPI persistence, the study aims to uncover the common external and country-specific factors driving these dynamics. Utilizing the local Whittle estimation method, the research examines the long-memory properties of headline inflation through monthly data from January 1996 to January 2023. The study expands upon existing knowledge of inflation persistence by exploring its changes and the various patterns of inflation persistence in Europe. The findings reveal significant differences in the persistence of inflation and the underlying factors behind it. As such, the study emphasizes the need for tailored policy approaches and a deeper understanding of inflation's true nature, expectation formation, price-setting behavior, and monetary policy in shaping inflation persistence. Given its important policy implications, this research is highly relevant to the European Central Bank (ECB) and national governments within the Eurozone. (original abstract)

Słowa kluczowe

EN

Inflation; Inflation expectations; Monetary policy; Estimation

PL

Inflacja; Oczekiwania inflacyjne; Polityka pieniężna; Estymacja

• Czasopismo: Contemporary Economics
• Rocznik: 2023
• Tom: 17
• Numer: nr 4
• Strony: 406--423

Twórcy

autor

Marinko Skare

• Juraj Dobrila University of Pula, Croatia

autor

Beata Gavurova

• Tomas Bata University in Zlin, Czech Republic

autor

Dean Sinkovic

• Juraj Dobrila University of Pula, Croatia

Bibliografia

• Antonakakis, N., Cunado, J., Gil-Alana, L. A., & Gupta, R. (2016). Is inflation persistence different in reality? Economics Letters, 148, 55-58. https://doi.org/10.1016/J.ECONLET.2016.09.003
• Baum, C.F., Barkoulas, J.T., & Caglayan, M. (1999). Persistence in international inflation rates. Southern Economic Journal, 65, 900. https://doi.org/10.2307/1061283
• Baum, C. F., Hurn, S., & Lindsay, K. (2020). Local Whittle estimation of the long-memory parameter. The Stata Journal, 20(3), 565-583. https://doi.org/10.1177/1536867X20953569
• Belaire-Franch, J. (2019). A note on the evidence of inflation persistence around the world. Empirical Economics, 56, 1477-1487. https://doi.org/10.1007/S00181-017-1403-6/METRICS
• Bems, R., Caselli, F., Grigoli, F., & Gruss, B. (2021). Expectations' anchoring and inflation persistence. Journal of International Economics, 132, 103516. https://doi.org/10.1016/J.JINTECO.2021.103516
• Bratsiotis, G. J., Madsen, J., & Martin, C. (2015). Inflation targeting and inflation persistence. Economic and Political Studies, 3(1), 3-17. https://doi.org/10.1080/20954816.2015.11673835
• Brissimis, S. N., & Migiakis, P. M. (2016). Inflation persistence, learning dynamics and the rationality of inflation expectations. Empirical Economics, 51, 963-979. https://doi.org/10.1007/S00181-015-1033-9/METRICS
• Canarella, G., & Miller, S. M. (2016). Inflation persistence and structural breaks: The experience of inflation targeting countries and the USA. Journal of Economic Studies, 43(6), 980-1005. https://doi.org/10.1108/JES-10-2015-0190/FULL/XML
• Caporale, G. M., Gil-Alana, L. A., & Poza, C. (2022). Inflation in the G7 countries: persistence and structural breaks. Journal of Economics and Finance, 46(3), 493-506. https://doi.org/10.1007/S12197-022-09576-W
• Chin, K. H. (2022). Inflation persistence and monetary policy: DSGE-VAR approach. The Manchester School, 90(6), 715-729. . https://doi.org/10.1111/MANC.12420
• Darvas, Z., & Varga, B. (2014). Inflation persistence in central and eastern European countries. Applied Economics, 46(13), 1437-1448. https://doi.org/10.1080/00036846.2013.875113
• De Vijlder, W. (2022). Global: Inflation persistence and why it matters [Editorial]. BNP Paribas. https://economic-research.bnpparibas.com/pdf/en-US/Inflation-persistence-matters-4/24/2022,46296
• Fuhrer, J. C. (2010). Inflation Persistence. In Handbook of Monetary Economics (pp. 423-486). https://doi.org/10.1016/B978-0-444-53238-1.00009-0
• Gaglianone, W. P., de Carvalho Guillén, O. T., & Figueiredo, F. M. R. (2018). Estimating inflation persistence by quantile autoregression with quantile-specific unit roots. Economic Modelling, 73, 407-430. https://doi.org/10.1016/J.ECON-MOD.2018.04.018
• Gil-Alana, L. A., Mervar, A., & Payne, J. E. (2017). The stationarity of inflation in Croatia: anti-inflation stabilization program and the change in persistence. Economic Change and Restructuring, 50, 45-58. https://doi.org/10.1007/S10644-016-9181-2/METRICS
• Gil-Alana, L. A., & Monge, M. (2020). Crude oil prices and COVID-19: Persistence of the shock. Energy Research Letters, 1(1). https://doi.org/10.46557/001C.13200
• Ha, J., Kose, A., & Ohnsorge, F. L. (2021). One-stop source: A global database of inflation (Policy Research Working Paper Series No. 973). The World Bank.
• Isoardi, M., & Gil-Alana, L. A. (2019). Inflation in Argentina: Analysis of persistence using fractional integration. Eastern Economic Journal, 45, 204-223. https://doi.org/10.1057/s41302-019-00133-8
• Jain, M. (2019). Perceived inflation persistence. Journal of Business & Economic Statistics, 37(1), 110-120. https://doi.org/10.1080/07350015.2017.1281814
• Jung, Y. G. (2019). Evaluating inflation persistence considering model uncertainty and structural break. Applied Economics Letters, 26(18), 1503-1510. https://doi.org/10.1080/13504851.2019.1584356
• Kanellopoulos, N. C., & Koutroulis, A. G. (2016). Non-linearities in euro area inflation persistence. Economic Modelling, 59, 116-123. https://doi.org/10.1016/J.ECONMOD.2016.07.006
• Kato, R., Okuda, T., & Tsuruga, T. (2021). Sectoral inflation persistence, market concentration, and imperfect common knowledge. Journal of Economic Behavior & Organization, 192, 500-517. https://doi.org/10.1016/J.JEBO.2021.10.026
• Leszczyńska-Paczesna, A. (2020). Sectoral price stickiness and inflation persistence in Poland: A two-sector DSGE approach. Prague Economic Papers, 29(2), 152-186. https://doi.org/10.18267/J.PEP.735
• Lovcha, Y., & Perez-Laborda, A. (2018). Monetary policy shocks, inflation persistence, and long memory. Journal of Macroeconomics, 55, 117-127. https://doi.org/10.1016/J.JMACRO.2017.10.006
• Lv, S., Xu, Z., Fan, X., Qin, Y., & Skare, M. . (2023). The mean reversion/persistence of financial cycles: Empirical evidence for 24 countries worldwide. Equilibrium. Quarterly Journal of Economics and Economic Policy, 18(1), 11-47. https://doi.org/10.24136/eq.2023.001
• Łyziak, T., & Paloviita, M. (2017). Anchoring of inflation expectations in the euro area: recent evidence based on survey data. European Journal of Political Economy, 46, 52-73. https://doi.org/10.1016/j.ejpoleco.2016.11.001
• Meller, B., & Nautz, D. (2012). Inflation persistence in the Euro area before and after the European Monetary Union. Economic Modelling, 29(4), 1170-1176. https://doi.org/10.1016/J.ECON-MOD.2012.03.016
• Misztal, P. (2017). The investigation of inflation persistence in Croatia in the period of 2005-2013. Economic research-Ekonomska istraživanja, 30(1), 273-289. http://www.tandfonline.com/action/authorSubmission?journalCode=rero20&page=instructions 30, 273-289. https://doi.org/10.1080/1331677X.2017.1305788
• Oikonomou, G., Papadamou, S., & Spyromitros, E. (2021). The effect of central bank transparency on inflation persistence. Economics and Business Letters, 10(1), 58-68. https://doi.org/10.17811/EBL.10.1.2021.58-68
• Oloko, T. F., Ogbonna, A. E., Adedeji, A. A., & Lakhani, N. (2021). Oil price shocks and inflation rate persistence: A Fractional Cointegration VAR approach. Economic Analysis and Policy, 70, 259-275. https://doi.org/10.1016/J.EAP.2021.02.014
• Romero-Ávila, D., & Usabiaga, C. (2012). Disaggregate evidence on Spanish inflation persistence. Applied Economics, 44(23), 3029-3046. https://doi.org/10.1080/00036846.2011.568412
• Škare, M., Franc-Dąbrowska, J., & Cvek, D. (2023). Cointegration analysis and VECM of FDI, employment, export and GDP in Croatia (2002-2017) with particular reference to the global crisis and poor macroeconomic governance. Equilibrium. Quarterly Journal of Economics and Economic Policy, 15(4), 761-783. https://doi.org/10.24136/eq.2020.033 (Original work published December 20, 2020)
• Skare, M., Gil-Alana, L. A., Claudio-Quiroga, G., & Pržiklas Družeta, R. (2021). Income inequality in China 1952-2017: persistence and main determinants. Oeconomia Copernicana, 12(4), 863-888. https://doi.org/10.24136/oc.2021.028
• Tetlow, R., 2018. The monetary policy response to uncertain inflation persistence (No. 2247). Board of Governors of the Federal Reserve System. https://doi.org/10.17016/2380-7172.2247
• Vaona, A., & Ascari, G. (2012). Regional inflation persistence: evidence from Italy. Regional Studies, 46(4), 509-523. https://doi.org/10.1080/00343404.2010.505913
• Wang, X. ., Xu, Z. ., Wang, X. ., & Skare, M. . (2022). A review of inflation from 1906 to 2022: a comprehensive analysis of inflation studies from a global perspective. Oeconomia Copernicana, 13(3), 595-631. https://doi.org/10.24136/oc.2022.018
• Wu, J. W., & Wu, J. L. (2018). Does a flexible exchange rate regime increase inflation persistence? Journal of International Money and Finance, 86, 244-263. https://doi.org/10.1016/J.JIMONFIN.2018.05.002

Identyfikatory

DOI

10.5709/ce.1897-9254.519