This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …

This paper investigates the relationship between inflation and inflation uncertainty in twelve EMU countries. A time …-varying GARCH model is estimated to distinguish between short-run and steady-state inflation uncertainty. The effects of the …-state inflation has generally remained stable, steady-state inflation uncertainty and inflation persistence have both increased, and …

changeover, Italian retailers have increased the number of price adjustments, which has translated into a higher inflation rate …

]run relation between expenditures and revenues in a cointegration analysis within each Land. The results provide evidence against …

particular, we carry out a detailed historical analysis, aiming to identify, in a narrative approach, the determinants of public … debt and its ratio to GDP. Second, exploiting unit root analysis and cointegration, we test for the sustainability of …

(possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage …

This note uses insights from cointegration analysis to reexamine two separate but related issues concerning the … by Caballero, 1994) that rely on cointegration to recover production function parameters. …

operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration …