Register  |  Login  |  Inquiries  |  Sitemap |  
Advanced Search
The Journal of Economic Integration 2011 June;26(2) :386-409.
DOI: https://doi.org/10.11130/jei.2011.26.2.386
Multi-Factor Gegenbauer Processes and European Inflation Rates

Guglielmo Maria Caporale Luis A. Gil-Alana

Brunel University
University of Navarra
Copyright ©2011 The Journal of Economic Integration
ABSTRACT

In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest that inflation in France and Italy is nonstationary. However, while for the former country this applies both to the zero and the seasonal frequencies, in the case of Italy the nonstationarity comes exclusively from the long-run or zero frequency. In the UK, inflation seems to be stationary with a component of long memory at both the zero and the semi-annual frequencies, especially at the former. In all cases, we find evidence of mean reversion, implying that the effects of exogenous shocks on inflation are transitory and activist policies are not required in response to them. This process is slower in the case of France and Italy compared with the UK.

JEL Classification: C22, O40

Keywords: Fractional Integration | Long Memory | Inflation
 
REFERENCE
1. Adelman, I. (1965), Long cycles: Fact or artifacts. American Economic Review, 55, 444-463.
2. Andel, J. (1986), Long memory time series models, Kybernetika, 22, 105-123.
TOOLS
PDF Links  PDF Links
Full text via DOI  Full text via DOI
Download Citation  Download Citation
  Print
Share:      
METRICS
12
Crossref
0
Scopus
3,804
View
29
Download
Editorial Office
Center for Economic Integration, Sejong University, 209, Neungdong-Ro, Gwangjin-Gu,
Seoul, 05006, Korea
TEL : +82-2-3408-3338    FAX : +82-2-6935-2492   E-mail : jei@sejong.ac.kr, editorial.office@e-jei.org
Browse Articles |  Current Issue |  For Authors and Reviewers |  About
Copyright© by Center for Economic Integration.      Developed in M2PI