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http://bura.brunel.ac.uk/handle/2438/26119
Title: | Inflation persistence in Europe: the effects of the Covid-19 pandemic and of the Russia-Ukraine war |
Authors: | Caporale, GM Infante, J Gil-Alana, LA Ayestaran, R |
Keywords: | inflation persistence;fractional integration;;recursive estimation;Covid-19 pandemic;Russia-Ukraine war |
Issue Date: | 30-Mar-2023 |
Publisher: | AcessEcon |
Citation: | Caporale, G.M. et al. (2023) 'Inflation persistence in Europe: the effects of the Covid-19 pandemic and of the Russia-Ukraine war', Economics Bulletin, 43 (1), pp. 137 - 145. Available at: http://www.accessecon.com/Pubs/EB/2023/Volume43/EB-23-V43-I1-P13.pdf . |
Abstract: | 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. |
URI: | https://bura.brunel.ac.uk/handle/2438/26119 |
Other Identifiers: | ORCiD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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