Exogenous shocks and time-varying price persistence in the EU27
ABSTRACTThis 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...
Main Authors: | Guglielmo Maria Caporale, Luis A. Gil-Alana, Amir Imeri |
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Format: | Article |
Language: | English |
Published: |
Taylor & Francis Group
2024-12-01
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Series: | Journal of Applied Economics |
Subjects: | |
Online Access: | https://www.tandfonline.com/doi/10.1080/15140326.2024.2329857 |
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