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Mean reversion and sales

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  • Patrick Lunnemann
  • Thomas Matha

Abstract

This article analyses the degree of inflation persistence in the EU15 using disaggregate HICP price indices. The results, based on a nonparametric measure proposed by Marques (2004) suggest a very moderate degree of median and mean inflation persistence. The modified treatment of sales in the Harmonised Index of Consumer Prices tends to reduce the measured degree of inflation persistence.

Suggested Citation

  • Patrick Lunnemann & Thomas Matha, 2009. "Mean reversion and sales," Applied Economics Letters, Taylor & Francis Journals, vol. 16(12), pages 1271-1275.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:12:p:1271-1275
    DOI: 10.1080/13504850701719876
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    References listed on IDEAS

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    1. Andrews, Donald W K & Chen, Hong-Yuan, 1994. "Approximately Median-Unbiased Estimation of Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 187-204, April.
    2. Robalo Marques, Carlos, 2004. "Inflation persistence: facts or artefacts?," Working Paper Series 371, European Central Bank.
    3. Carlos Robalo Marques, 2005. "Inflation persistence: facts or artefacts?," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    4. Dias, Daniel A. & Marques, Carlos Robalo, 2010. "Using mean reversion as a measure of persistence," Economic Modelling, Elsevier, vol. 27(1), pages 262-273, January.
    5. Andrews, Donald W K, 1993. "Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models," Econometrica, Econometric Society, vol. 61(1), pages 139-165, January.
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    Cited by:

    1. Thomas Windberger & Achim Zeileis, 2011. "Structural Breaks in Inflation Dynamics within the European Monetary Union," Working Papers 2011-12, Faculty of Economics and Statistics, Universität Innsbruck.

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