The role of inflation persistence in the inflation process in the new EU member states

0349400 - NHU-C 2011 LU eng C - Konferenční příspěvek (zahraniční konf.)
Franta, Michal - Saxa, Branislav - Šmídková, K.
The role of inflation persistence in the inflation process in the new EU member states.
What drives inflation in the new EU member states: proceedings of the workshop held on 22 October 2008. Luxembourg: European Commission, 2009, s. 93-124. European Economy, Occasional Papres, 50. ISBN 978-92-79-11264-5.
[What drives inflation in the new EU member states: workshop. Brussels (BE), 22.10.2008-22.10.2008]
Grant ostatní: European Commission ECFIN/C/2008/010
Výzkumný záměr: CEZ:MSM0021620846
Klíčová slova: inflation persistence * new EU memberr states * central bank credibility
Kód oboru RIV: AH - Ekonomie
http://ec.europa.eu/economy_finance/publications/publication15562_en.pdf

The aim of the paper is to compare inflation persistence between the New Member States (NMS) that joined the European Union in years 2004 and 2007 and selected euro area members. If the inflation persistence in the two groups is different, NMS can encounter problems with the fulfillment of the Maastricht criterion on inflation and - after entering the euro area - with the inflation divergence. We argue that due to the transition process experienced by the NMS in the last 15 years, measures of inflation persistence need to be selected carefully. Two measures are estimated. The first one is based on the simple univariate statistical model of inflation with timevarying mean. The second one assumes inflation following fractionally integrated process and measures inflation persistence within an ARFIMA model.
Trvalý link: http://hdl.handle.net/11104/0189652