期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2007
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：This paper examines the time series properties of inflation differentials in twelve EMU countries. We compute three
alternative measures of inflation differentials using deviations from the policy reference value implied by the
Maastricht Treaty, the ECB target, and deviations from the EMU average inflation. The evidence from standard
linear unit root tests indicate that inflation differentials are highly persistent. However, when we account for
endogenously determined structural breaks, we obtain greater support for stationarity. In addition, when we allow for
the possibility that inflation differentials can be charterised by a non-linear mean reverting process we find evidence
of stationarity. Our empirical results suggest that once we allow for structural breaks or non-linearities, inflation
differentials do not consistently intensify real divergence in the euro area.
关键词：EMU, ESTAR models; Inflation; Structural break; Unit root tests.
