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Inflation Persistence Euro Area and New EU Member States

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Inflation Persistence Euro Area and New EU Member States A Service of Leibniz-Informationszentrum econstor Wirtschaft Leibniz Information Centre Make Your Publications Visible. zbw for Economics Franta, Michal; Saxa, Branislav; Šmídková, Katerina Working Paper Inflation persistence: euro area and new EU Member States ECB Working Paper, No. 810 Provided in Cooperation with: European Central Bank (ECB) Suggested Citation: Franta, Michal; Saxa, Branislav; Šmídková, Katerina (2007) : Inflation persistence: euro area and new EU Member States, ECB Working Paper, No. 810, European Central Bank (ECB), Frankfurt a. M. This Version is available at: http://hdl.handle.net/10419/153244 Standard-Nutzungsbedingungen: Terms of use: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Documents in EconStor may be saved and copied for your Zwecken und zum Privatgebrauch gespeichert und kopiert werden. personal and scholarly purposes. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle You are not to copy documents for public or commercial Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich purposes, to exhibit the documents publicly, to make them machen, vertreiben oder anderweitig nutzen. publicly available on the internet, or to distribute or otherwise use the documents in public. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, If the documents have been made available under an Open gelten abweichend von diesen Nutzungsbedingungen die in der dort Content Licence (especially Creative Commons Licences), you genannten Lizenz gewährten Nutzungsrechte. may exercise further usage rights as specified in the indicated licence. www.econstor.eu WORKING PAPER SERIES NO 810 / SEPTEMBER 2007 INFLATION PERSISTENCE EURO AREA AND NEW EU MEMBER STATES by Michal Franta, Branislav Saxa and Kateřina Šmídková WORKING PAPER SERIES NO 810 / SEPTEMBER 2007 INFLATION PERSISTENCE EURO AREA AND NEW EU MEMBER STATES 1 by Michal Franta 2, Branislav Saxa 3 and Kateřina Šmídková 4 In 2007 all ECB publications This paper can be downloaded without charge from feature a motif taken from the http://www.ecb.int or from the Social Science Research Network €20 banknote. electronic library at http://ssrn.com/abstract_id=1010955. 1 The views expressed are those of the authors, and do not necessarily represent those of the affiliated institutions. We thank Michael Ehrmann, Roman Horváth, Klaus Adam and Oreste Tristani for comments and suggestions and Luca Benati for comments and help with the code. The paper has been written with the support of the Czech National Bank’s research project B4/03. 2 Corresponding author: Czech National Bank and CERGE-EI, P.O. Box 882, Politickych veznu 7, 111 21 Praha 1, Czech Republic; e-mail: [email protected] 3 Czech National Bank and CERGE-EI, P.O. Box 882, Politickych veznu 7, 111 21 Praha 1, Czech Republic; e-mail: [email protected]. Branislav Saxa worked on the paper during his internship at the European Central Bank. 4 Czech National Bank and Charles University, Postal address: Czech National Bank, Na Příkopě 28, 115 03 Prague 1, Czech Republic; e-mail: [email protected] © European Central Bank, 2007 Address Kaiserstrasse 29 60311 Frankfurt am Main, Germany Postal address Postfach 16 03 19 60066 Frankfurt am Main, Germany Telephone +49 69 1344 0 Website http://www.ecb.europa.eu Fax +49 69 1344 6000 Telex 411 144 ecb d All rights reserved. Any reproduction, publication and reprint in the form of a different publication, whether printed or produced electronically, in whole or in part, is permitted only with the explicit written authorisation of the ECB or the author(s). The views expressed in this paper do not necessarily ref lect those of the European Central Bank. The statement of purpose for the ECB Working Paper Series is available from the ECB website, http://www.ecb.europa. eu/pub/scientific/wps/date/html/index. en.html ISSN 1561-0810 (print) ISSN 1725-2806 (online) CONTENTS Abstract 4 Non-technical summary 5 1 Introduction 7 2 Related literature 9 3 Stylized facts and models for estimating inflation persistence 11 3.1 Statistical measures – parametric (autoregressive models) 13 3.2 Structural measures 16 4 Results 17 4.1 Statistical measures – parametric (autoregressive models) 17 4.2 Structural measures 27 5 Conclusions 30 References 32 Appendix 1: Data description 35 Appendix 2: Sum of autoregressive coefficients – core inflation 36 Appendix 3: Inflation plots for selected countries 38 European Central Bank Working Paper Series 40 ECB Working Paper Series No 810 September 2007 3 $EVWUDFW ,VLQIODWLRQSHUVLVWHQFHLQWKHQHZ(80HPEHU6WDWHV 106 FRPSDUDEOHWRWKDWLQ WKHHXURDUHDFRXQWULHV":HDUJXHWKDWSHUVLVWHQFHPD\QRWEHDVGLIIHUHQWEHWZHHQ WKH WZR FRXQWU\ 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