Equilibrium correction models of the price level are often used to model inflation. Such models assume that the long …

In most OECD countries, we cannot reject up to three breaks in the mean of inflation: one break in the late 1960’s … phenomena. We also show that ignoring breaks in the mean of inflation clearly lead to overrate inflation persistence in standard … bi-variate models of inflation. The response of inflation to shocks in these models is markedly faster with breaks than …

This paper analyses the degree of inflation persistence in the EU15, the euro area and each of its member states using … moderate degree of median and mean inflation persistence. For most price indices we are able to reject the unit root hypothesis …, as well as the notion of disaggregate inflation exhibiting a high degree of persistence. Durable goods and services tend …

The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the …

equilibrium level implied by the model seem to contain information on future changes in inflation, though not on its level. JEL …

impact on the cointegration properties in empirical modelling, the monetary model in Coenen & Vega (2001) based on fixed …