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 …

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

inflation by using a Nonlinear ARDL (NARDL) model, which is compared to a benchmark linear ARDL one. Using monthly data from the …, especially negative ones, have a stronger impact on inflation than OPU ones and capture some of the monetary policy uncertainty …, thereby reducing the direct effect of interest rate changes on inflation. Since EPU shocks reflect, at least to some extent …

inflation persistence in both the euro zone and the European Union as a whole (EU27). For this purpose a fractional integration … evidence of a significant increase in inflation persistence (especially in the case of the EU27, for which in addition to jumps …

This paper examines long-range dependence in the inflation rates of the G7 countries by estimating their (fractional …

inflation by using a Nonlinear ARDL (NARDL) model, which is compared to a benchmark linear ARDL one. Using monthly data from the …, especially negative ones, have a stronger impact on inflation than OPU ones and capture some of the monetary policy uncertainty …, thereby reducing the direct effect of interest rate changes on inflation. Since EPU shocks reflect, at least to some extent …

monthly) are analysed using fractional integration and fractional cointegration methods. Further, recursive cointegration … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties …

22 stock indices are analysed applying fractional integration/cointegration methods to daily data, first for a sample …