Exogenous shocks and time-varying price persistence in the EU27

This paper analyses monthly price persistence in the EU27 countries over the period 2010-2022 using a fractional integration framework, where the measure of persistence is the fractional differencing parameter d. In addition to full sample estimates, subsample and recursive ones are obtained to exam...

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Bibliographic Details
Published in:Journal of applied economics 2024-12, Vol.27 (1), p.1-16
Main Authors: Caporale, Guglielmo Maria, Gil-Alaña, Luis A, Imeri, Amir
Format: Article
Language:English
Subjects:
COVID-19
COVID-19 pandemic
Exceptions
fractional integration
Pandemics
Price persistence
Prices
Recursion
Russia-Ukraine War
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