English, Article, Journal or magazine article edition: Testing similarities of short-run inflation dynamics among EU countries after the Euro Giulio PALOMBA; Emma SARNO; Alberto ZAZZARO

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Bookmark: http://trove.nla.gov.au/version/18637
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Testing similarities of short-run inflation dynamics among EU countries after the Euro
Author
  • Giulio PALOMBA
  • Emma SARNO
  • Alberto ZAZZARO
Physical Description
  • preprint
Notes
  • In this paper we introduce new definitions of pairwise and multivariate similarity between short-run dynamics of inflation rates in terms of equality of forecast functions and show that in the context of invertible ARIMA processes the Autoregressive distance introduced by Piccolo (1990) is a useful measure to evaluate such similarity. Then, we study the similarity of shortrun inflation dynamics across EU-15 area countries during the Euro period. Consistent with studies on inflation differentials and inflation persistence, our findings suggest that after seven years from the launch of the Euro the degree of similarity of short-run inflation dynamics across EU countries is still weak.
  • Euro, autoregressive metric, inflation dynamics
  • RePEc:anc:wpaper:289
Language
  • English
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