Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/267304 
Year of Publication: 
2022
Series/Report no.: 
CESifo Working Paper No. 10071
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
This note analyses the possible effects of the Covid-19 pandemic and of the Russia-Ukraine war on the degree of inflation persistence in both the euro zone and the European Union as a whole (EU27). For this purpose a fractional integration model is estimated, first using the full sample and then recursively. Although the recursive analysis provides clear evidence of a significant increase in inflation persistence (especially in the case of the EU27, for which in addition to jumps an upward trend is clearly identifiable), the full-sample results imply long-lasting but only temporary effects of the two shocks being examined. These findings suggest that the required policy response to both shocks should also have a temporary nature.
Subjects: 
inflation persistence
fractional integration
recursive estimation
Covid-19 pandemic
Russia-Ukraine war
JEL: 
C22
E31
Document Type: 
Working Paper
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