衡量EMU内的宏观经济收和分歧,使用长期记忆
Lena Dräger1, Theoplasti Kolaiti1, Philipp Sibbertsen1
1Faculty of Economics and Management, Leibniz University Hannover, Königsworther Platz 1, 30167 Hannover, Germany.
概括
这项研究揭示了欧洲货币联盟 (EMU) 通货膨胀和工业生产中的分数整合,表明了趋同集群. 危机后,通胀持久性增加,而工业生产持久性下降.
科学领域:
- 经济学 经济学 经济学
- 计量经济学 计量经济学
- 货币经济学 货币经济学
背景情况:
- 评估经济收对于欧洲货币联盟 (EMU) 来说至关重要.
- 标准的共同整合可能无法完全捕捉经济平衡的持续性.
- 分数共融为长期经济关系提供了更灵活的框架.
研究的目的:
- 为了测试EMU通货膨胀率和工业生产中的小数整合.
- 确定成员国之间的趋同模式和集群.
- 分析持久性结构的变化,特别是在经济危机期间.
主要方法:
- 分数协同集成试验的应用.
- 对1999年1季度至2021年1季度的通货膨胀和工业生产的时间序列数据的分析:Q4.
- 检查结构性断裂的持久性.
主要成果:
- 在许多通货膨胀和工业生产国家对中发现了分数协同整合的证据.
- 通货膨胀数据表明,在核心国家或边缘国家内存在收集群.
- 工业生产在核心国家之间显示出更强的共同整合.
- 在通货膨胀和工业生产方面都发现了结构性持续性断裂.
- 通货膨胀持久性在中断后显著增加,而工业生产持久性则下降.
结论:
- 分数共融提供了关于EMU经济融合动态的宝贵见解.
- 对于通货膨胀和工业生产,存在着明显的趋同模式.
- 经济危机可能会改变关键经济指标的持久性,影响趋同潜力.
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