Structural Convergence of Macroeconomic Time Series: Evidence for Inflation Rates in EU Countries
In 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.
|Date of creation:||May 2003|
|Contact details of provider:|| Postal: Piazzale Martelli, 8, 60121 Ancona|
Phone: +39 071 220 7100
Fax: +39 071 220 7102
Web page: http://www.dises.univpm.it/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lutz, Matthias, 2003.
"Price Convergence under EMU? First Estimates,"
Royal Economic Society Annual Conference 2003
143, Royal Economic Society.
- Matthias Lutz, 2003. "Price Convergence under EMU? First Estimates," University of St. Gallen Department of Economics working paper series 2003 2003-08, Department of Economics, University of St. Gallen.
- Mojon, Benoît & Peersman, Gert, 2001. "A VAR description of the effects of monetary policy in the individual countries of the euro area," Working Paper Series 0092, European Central Bank.
- Massimiliano Marcellino & James H. Stock & Mark W. Watson, "undated".
"Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information,"
201, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2003. "Macroeconomic forecasting in the Euro area: Country specific versus area-wide information," European Economic Review, Elsevier, vol. 47(1), pages 1-18, February.
- Marcellino, Massimiliano, 2002.
"Forecasting EMU Macroeconomic Variables,"
CEPR Discussion Papers
3529, C.E.P.R. Discussion Papers.
- Simon Sosvilla-Rivero & Salvador Gil-Pareja, 2004.
"Price convergence in the European Union,"
Applied Economics Letters,
Taylor & Francis Journals, vol. 11(1), pages 39-47.
- van Els, Peter J. A. & Locarno, Alberto & Morgan, Julian & Villetelle, Jean-Pierre, 2001.
"Monetary policy transmission in the euro area: What do aggregate and national structural models tell us?,"
Working Paper Series
0094, European Central Bank.
- Peter van Els & Alberto Locarno & Julian Morgan & Jean-Pierre Villetelle, 2001. "Monetary policy transmission in the euro area: what do aggregate and national structural models tell us?," Temi di discussione (Economic working papers) 433, Bank of Italy, Economic Research and International Relations Area.
- Maharaj, E.A., 1994. "A Significance Test for Classifying ARMA Models," Monash Econometrics and Business Statistics Working Papers 18/94, Monash University, Department of Econometrics and Business Statistics.
- Meese, Richard & Geweke, John, 1984. "A Comparison of Autoregressive Univariate Forecasting Procedures for Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(3), pages 191-200, July.
When requesting a correction, please mention this item's handle: RePEc:anc:wpaper:180. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maurizio Mariotti)
If references are entirely missing, you can add them using this form.