The Stylized Facts of Greek Inflation: New Evidence on Persistence

Abstract

This paper contributes to the existing empirical literature of inflation persistence by providing results on the level of inflation persistence for the Greek economy using an inflation series on both the aggregated and the disaggregated level. The empirical findings reveal substantial homogeneity across sectors as well as across price indices. These results suggest a very moderate degree of inflation persistence for both aggregate and disaggregate price indices. The results point to the need to account for the presence of a structural break typically related to the “Maastricht effect”; and entailed a structural increase in the persistence measure, though the average level of inflation declined. This could be a piece of evidence that although the monetary component of inflation in Greece was neutralized due to the implementation of the monetary policy by a central monetary authority, other idiosyncratic characteristics of the Greek inflation contribute to this persistent structure of the inflation series.

Key words: Inflation, Persistence, Aggregate and disaggregate prices, Greece.
JEL: E31.