Does European Monetary Union make inflation dynamics more uniform?

Using a non-parametric method to characterize Markovian operators, we describe the evolution of the short-run inflation processes among the EMU countries between 1996 and 2012. While a progressive clustering pattern can be outlined in the first half of the period – showing that the monetary union makes price dynamics more homogeneous – starting from 2004, an increase in price volatility makes the clustering pattern unstable, as the analysis of the changing points of the inflation processes confirms.