This paper empirically investigates the impact of inflation targeting on inflation uncertainty. We implement PARCH and GARCH methodologies to model conditional variance of inflation. We also investigate the relationship between level and volatility of inflation to analyze the validity of the...

This paper examines persistence in Turkish inflation rates using data from consumer and wholesale price indices. The inflationary process in Turkey is believed to be highly inertial, which should lead to strongly persistent inflation series. Persistence of seventy-five inflation series at...

We use cointegration tests that determine endogenously the regime shift to test for bilateral inflation rate convergence in the European Countries in the 1961-1997 period. When applying cointegration tests that do not allow for structural breaks, only for seven of the fourteen countries examined...

We investigate the empirics of the persistence in the inflation series for 13 OECD countries that use an inflation targeting regime. We estimate persistence in the pre- and post-targeting periods using the fractional integration framework suggested by Kim and Phillips (2006, 2000) and Phillips...

We study the convergence properties of inflation rates among the countries of the European Monetary Union over the period 1980-2004. Given the Maastricht agreements and the adoption of the single currency, the sample can be naturally split into two parts, before and after the birth of the euro....

This comprehensive study delves into the Harmonised Consumer Price Index (HCPI) behavior across European economies from the early 2000s to the post-pandemic period. By analyzing the patterns of convergence and divergence in HCPI persistence, the study aims to uncover the common external and...

This paper uses the European Monetary Union (EMU) as a natural experiment to investigate whether more effective monetary policy reduces the persistence of inflation. Taking into account the fractional integration of inflation, we confirm that inflation dynamics differed considerably across Euro...

La mayor parte de la evidencia empírica sobre el efecto de Fisher o la hipótesisde Fisher sostiene que la relación entre la tasa de inflación y la tasa de interés nominaldebe ser igual a uno. Este artículo analiza la relación entre la tasa de interés nominaly la tasa de inflación para...

Monthly and yearly inflation rates can be understood as rates of dynamics of the basic inflation indicator i.e. the consumer price index. These indicators modify the original inflation information. It is important to analyze the difference of the consumer price index, monthly and yearly...

To assess the effects of the EMU on inflation rate dynamics of its member states, the inflation rate series for 21 European countries are investigated for structural changes. To capture changes in mean, variance, and skewness of inflation rates, a generalized logistic model is adopted and...