experts? inflation expectations, we find that the model adequately captures the dynamics of household inflation expectations …

This paper studies the role of inflation in the determination of financial asset prices. We estimate an Intertemporal … Capital Asset Pricing Model à la Merton (1973), with inflation as an independent source of risk, for France and Germany. Our … the convergence process towards the single currency might have affected the role of inflation in the pricing of financial …

This paper uses disaggregated CPI time series to show that a break in the mean of French inflation occurred in the mid … mean break, both aggregate and sectoral inflation persistence are stable and low, with the unit root lying far in the tail … price changes (at the firm level) appears positively related with inflation persistence (at the aggregate level). …

inflation series of the euro area CPI translates into the slow adjustment of euro area aggregate inflation. We first estimate a … dynamic factor model for 404 inflation sub-indices of the euro area CPI. This allows to decompose the dynamics of inflation … the overall variance of the 404 disaggregate inflation series, is the main driver of aggregate dynamics. In addition, the …

looking pricing account for the observed persistence in aggregate inflation. Second, price-setting responds to movements in … marginal costs, which should therefore be the driving force to observed inflation dynamics. This is not always the case in … conditions under which imposing homogeneity results in overestimating a backward-looking component in (aggregate) inflation, and …

countryspecific measures, particularly since the start of EMU, and is useful to predict country-specific inflation. However, it … generally does not encompass country-specific money overhang measures as predictors of inflation. Hence, aggregate money …

, Italy and the UK). The empirical results suggest that inflation in France and Italy is nonstationary. However, while for the … exclusively from the long-run or zero frequency. In the UK, inflation seems to be stationary with a component of long memory at …

, Italy and the UK). The empirical results suggest that inflation in France and Italy is nonstationary. However, while for the … exclusively from the long-run or zero frequency. In the UK, inflation seems to be stationary with a component of long memory at …