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Has Inflation Persistence Changed under EMU? Peter Tillmann Justus-Liebig-University Giessen Abstract. This paper analyzes the persistence of inflation in the euro area and, in particular, whether the persistence properties have changed since the start of European Monetary Union(EMU). For that purpose, we compare pre- and post-EMU inflation persistence, use rolling-window estimates of persistence, and apply tests specifically designed to detect break dates near the end of the sample period. In contrast to previ- ous research, we find that inflation persistence

Comparison of Estimators. Economics, Finance and Accounting Department Working Paper Series , No.1500205. 14. Peng, W. (1995). The Fisher Hypothesis and Inflation Persistence: Evidence from Five Major Industrial Countries. IMF Woking Paper , No: 95/118. 15. Praščević, A. and Ješić, M. (2019). Modeling Macroeconomic Policymakers’ Interactions under Zero Lower Bound Environment: The New Keynesian Theoretical Approach. Journal of Central Banking Theory and Practice , 8(1), 5-38. 16. Shin, Y., Yu, B. & Greenwood-Nimmo, M. (2014). Modelling Asymmetric Cointegration and

-07. 5. European Central Bank (ECB) (2010). Energy Markets and the Euro Area Macroeconomy, Structural Issues Report 2010 . European Central Bank. 6. Franta, M., Saxa, B. and Smidkova, K. (2007). Inflation persistence: euro area and new EU Member States, European Central Bank, Working Paper Series 810. 7. Galí, J. and Gertler, M. (1999). Inflation dynamics: A structural econometric analysis, Journal of Monetary Economics , 44(2), 195-222. 8. Galí, J. and Monacelli, T. (2005). Monetary Policy and Exchange Rate Volatility in a Small Open Economy, Review of Economic

References 1. Adolfson M., Lindé J., and Villani M. (2007). Forecasting performance of an open economy DSGE model. Econometric Reviews , 26(2-4), 289-328. 2. Alstadheim, R., Bjornland, H.C. and Maih, J. (2013). Do central banks respond to exchange rate movements? A Markov-switching structural investigation. Working Paper 2013/24, Norges Bank. 3. Amisano G. and Tristani O. (2010). Euro area inflation persistence in an estimated nonlinear DSGE model. Journal of Economic Dynamics and Control , 34(10), 1837-1858. 4. Andreasen, M. M. (2013). Non-Linear DSGE Models

. Thesis of Master of Commerce in Financial Markets, Rhodes University. 28. Nam, J-H. (1993). The Liquidity, Income and Fisher Effects of Money on Interest: The Case of Developing Country. Seoul Journal of Economics , 6, 223–239. 29. Payne, J., and Ewing, B. (1997). Evidence from Lesser Developed Countries on the Fisher Hypothesis: A Co-integration Analysis. Applied Economics Letters , 4, 683–687. 30. Peng, W. (1995). The Fisher Hypothesis and Inflation Persistence Evidence From Five Major Industiral Countries. IMF Working Paper, No. 95/118. 31. Pesaran, H. M. (2004

References 1. Akerlof, George A., William T. Dickens, George L. Perry, Truman F. Bewley, and Alan S. Blinder (2000). Near Rational Wage and Price Setting and the Long-run Phillips Curve. Brookings Papers in Economic Activity, 2000(1); 1-60. 2. Cogley, Timothy and Argia M. Sbordone (2008). Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve. American Economic Review 98(5); 2101-2126. 3. Debelle, Guy and Douglas Laxton (1997). Is the Phillips curve really a curve? Some evidence for Canada, the United Kingdom, and the

ratio standards: Scaling an Allometric modelling approach, The American Physiological Society. Available at:,%20Normalizing.pdf [Accessed at: 23 September 2014] 36. Ng, S. and P. Perron. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69, 1519-1554. 37. Osborn, D.R. Sensier, M . (2009). UK Inflation: Persistence, Seasonality and Monetary Policy, Scottish Journal of Political Economy, Vol. 56, No. 1, February 38. Park, S, G. (2008

persistence in South Africa”, Journal of Financial Economic Policy , 4(3), 247-269. Phiri A. (2013) “An inquisition into bivariate thresholds effects in the inflation-growth correlation: Evaluating South Africa’s macroeconomic objectives”, Business and Economic Horizons , 9(3), 1-11. Phiri A. (2016a) “Inflation persistence and monetary policy in South Africa: Is the 3% to 6% inflation target too persistent?”, International Journal of Sustainable Economy , 8(2), 111-124. Phiri A. (2016b) “Inflation persistence in African countries: Does inflation targeting matter

Number 78, June 1997. 25. Herve, D.B.G., Shen, Y. (2011) Management of Stock Price and It Effect on Economic Growth: Case Study of West African Financial Markets, International Journal of Business and Management, 6( 2), 52-71 26. Hondroyiannis, G., Lazaretou, S. (2004) Inflation Persistence during Periods of Structural Change: An Assessment Using Greek Data, Working Papers Series, No. 370, June, Bank of Greece, 1-44. 27. Kar, M., Pentecost, E.J. (2000) Financial Development and Economic Growth in Turkey: Further Evidence on the Causality Issue, Economic Research Paper

, Elsevier, Amsterdam, pp. 1647–1729. Fuhrer, J. C. (2002), ‘Habit Formation in Consumption and its Implications for Monetary-Policy Models’, American Economic Review 90, 387–390. Fuhrer, J. and G. Moore (1995), ‘Inflation Persistence’, Quarterly Journal of Economics 110, 127–159. Gali, J. and T. Monacelli (2002), ‘Monetary Policy and Exchange Rate Volatiltiy in a Small Open Economy’, Working Paper No. 8905, National Bureau of Economic Research, Cambridge, MA. Goodfriend, M. S. (1991), ‘Interest Rates and the Conduct of Monetary Policy’, Carnegie-Rochester Conference