Structural Breaks in Inflation Dynamics within the European Monetary Union

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Authors Thomas Windberger, Achim Zeileis
Journal/Conference Name Eastern European Economics
Paper Category
Paper Abstract To assess the effects of the European Monetary Union on the inflation rate dynamics of its member states, the inflation rate series for twenty-one European countries are investigated for structural changes. To capture changes in mean, variance, and skewness of inflation rates, a generalized logistic model is adopted and complemented with structural break tests and breakpoint estimation techniques. These reveal considerable differences in the patterns of inflation dynamics and the structural changes therein. Overall, there is convergence toward a lower mean inflation rate with reduced skewness, but it is accompanied by an increase in variance.
Date of publication 2014
Code Programming Language R
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