دانلود رایگان مقاله غیر خطی بودن تداوم تورم منطقه یورو

Abstract

This paper investigates the nature of inflation dynamics with a special focus on inflation persistence. Using data from euro area member-states we estimate dynamic non-linear panel models addressing in detail econometric issues concerning unobserved heterogeneity, genuine state dependence, and the initial conditions problem. After controlling for observed and unobserved heterogeneity, our results suggest that the degree of inflation persistence is genuine and varies depending on whether the inflation rate is too high, within the range of ECB's target of price stability, too low or negative. This implies that policies to stabilize inflation in the short run will have longer-run effects.

4. Conclusions

Our starting point was the argument that, inflation persistence in Eurozone varies depending on the level of previous inflation, and thus we need to allow for a non-linear relation between current and previous inflation. To gain greater understanding of this non-linear relationship, we have constructed four inflation regimes and modelled transitions among these using a random effects ordered model, allowing for unobserved heterogeneity and endogenous initial conditions. Our model was estimated using quarterly data from Eurostat for 11 EMU countries over the period 1997:Q1 to 2015:Q3. A series of tests was performed to check the validity of our argument (non-linear inflation persistence versus linear). All tests confirmed that inflation persistence in non-linear. Results suggest that deflationary episodes are possible but not very likely. If they occur, however, they are less persistent. Inflation persistence increases as inflation rates scale up and move towards ECB's target rates. Interestingly, once inflation enters the high-inflation regime, it shows a strong tendency to remain there as well. So, despite the concerns about the appearance and the possible persistence of deflationary pressures in the euro area, statistically, it is high inflation rather than deflation that records higher persistence and thus posing a risk on the economic prospects of the European economy. Moreover, short-term policies that lead to price stability seem to have a longer effect, since entering the price stability regime the probability of remaining there is 73.5%. Of course, this is not to say that the risks of deflation episodes are unreal. Neither do we view deflation, which is associated with recession, as an innocuous monetary phenomenon. Negative inflation can become self-enforcing in the sense that, ceteris paribus, falling prices today can themselves increase the risk of falling prices tomorrow. From a monetary policy perspective, these considerations imply that the ECB should remain alert to adjusting its policy tools in response to adverse economic developments.