Arbeitspapier
A markup model of inflation for the euro area
Equilibrium correction models of the price level are often used to model inflation. Such models assume that the long-run markup of prices over costs is fixed, but this may not be true for the Euro area economy, which has undergone major structural reforms over the last 25 years. We allow for shifts in the markup factor through estimating an equation that includes a timevarying intercept. The model fits the data better than a linear alternative, and suggests that a reduction in the price-cost markup contributed to disinflation in the Euro area during the 1980s.
- Language
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Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 306
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Price Level; Inflation; Deflation
dynamic modelling
inflation
price-cost markup
time-varying intercept
Jansen, Eilev S.
- Handle
- Last update
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20.09.2024, 8:24 AM CEST
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bowdler, Christopher
- Jansen, Eilev S.
- European Central Bank (ECB)
Time of origin
- 2004