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Structural Convergence of Macroeconomic Time Series: Evidence for Inflation Rates in EU Countries

  • Emma SARNO

    ([n.a.])

  • Alberto ZAZZARO

    ()

    (Universita' Politecnica delle Marche, Dipartimento di Economia)

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.

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Paper provided by Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali in its series Working Papers with number 180.

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Length: 21
Date of creation: May 2003
Date of revision:
Handle: RePEc:anc:wpaper:180
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  1. 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.
  2. Massimiliano Marcellino, . "Forecasting EMU macroeconomic variables," Working Papers 216, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  3. Simón Sosvilla-Rivero & Salvador Gil-Pareja, . "Price Convergence in the European Union," Working Papers 2002-12, FEDEA.
  4. Massimiliano Marcellino & James H. Stock & Mark W. Watson, . "Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information," Working Papers 201, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
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