Does European Monetary Union make inflation dynamics more uniform?

Using a nonparametric 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.