Structural Convergence of Macroeconomic Time Series: Evidence for Inflation Rates in EU Countries
AbstractIn this paper we introduce a new concept of structural convergence and propose an index of dissimilarity among time series as a measure of global convergence of macroeconomic phenomena. The index is built up from the autoregressive distance estimator. The index has the suitable characteristic of being a continuous measure that allows the evaluation of the overall convergence of several time series by using the information on the mutual convergence of single pairs. In this paper, we apply the index to the series of inflation rates of 13 European Union countries. We find that the convergence of the average level of inflation rates, as required by the Maastricht treaty to enter the monetary union, was only partly accompanied by the convergence in time of inflation dynamics. Moreover, such process of convergence did not concern all countries.
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Bibliographic InfoPaper provided by Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali in its series Working Papers with number 180.
Date of creation: May 2003
Date of revision:
autoregressive metric; convergence; inflation dynamics;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
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