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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Gil-Alana, LA | - |
dc.contributor.author | Imeri, A | - |
dc.date.accessioned | 2024-03-12T12:43:48Z | - |
dc.date.available | 2024-03-12T12:43:48Z | - |
dc.date.issued | 2024-03-21 | - |
dc.identifier | ORCiD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 | - |
dc.identifier | ORCiD: Luis A. Gil-Alana https://orcid.org/0000-0002-5760-3123 | - |
dc.identifier | ORCiD: Amir Imerid https://orcid.org/0000-0003-3546-9362 | - |
dc.identifier.citation | Caporale, G.M., Gil-Alana, L.A. and Imeri, A. (2024) 'Exogenous shocks and time-varying price persistence in the EU27', Journal of Applied Economics, 0 (ahead of print), pp. 1 - 16. doi: 10.1080/15140326.2024.2329857. | en_US |
dc.identifier.issn | 1514-0326 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/28516 | - |
dc.description | JEL Classification: C22; E31 | en_US |
dc.description.abstract | This 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 to examine time variation. On the whole, the results provide clear evidence that both the exogenous shocks considered (namely, the COVID-19 pandemic and the Russia-Ukraine war) have generally increased price persistence in the EU27 (despite their heterogeneity), although the recursive estimates suggest that their impact might have peaked and might now be decreasing. Therefore, any policies adopted to counteract those shocks should be gradually phased out. The exceptions are the Southern European countries, where price persistence appears to have decreased, though in Italy the recursive analysis indicates that it is now rising sharply. | en_US |
dc.description.sponsorship | Ministerio de Ciencia e Innovación [PID2020-113691RB-I00] funded by MCIN/AEI/10.13039/501100011033; internal Project from the Universidad Francisco de Vitoria. | en_US |
dc.format.extent | 1 - 16 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en_US | en_US |
dc.publisher | Routledge (Taylor and Francis Group) | en_US |
dc.rights | Copyright © 2024 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. The terms on which this article has been published allow the posting of the Accepted Manuscript in a repository by the author(s) or with their consent. | - |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
dc.subject | price persistence | en_US |
dc.subject | fractional integration | en_US |
dc.subject | Covid-19 pandemic | en_US |
dc.subject | Russia-Ukraine war | en_US |
dc.subject | recursive estimation | en_US |
dc.subject | time variation | en_US |
dc.title | Exogenous shocks and time-varying price persistence in the EU27 | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1080/15140326.2024.2329857 | - |
dc.relation.isPartOf | Journal of Applied Economics | - |
pubs.issue | 00 | - |
pubs.publication-status | Published online | - |
pubs.volume | 0 | - |
dc.identifier.eissn | 1667-6726 | - |
dc.rights.license | https://creativecommons.org/licenses/by/4.0/legalcode.en | - |
dc.rights.holder | The Author(s) | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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FullText.pdf | Copyright © 2024 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. The terms on which this article has been published allow the posting of the Accepted Manuscript in a repository by the author(s) or with their consent. | 3.04 MB | Adobe PDF | View/Open |
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