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Inequality and Macroeconomic Factors: A Time-Series Analysis for a Set of OECD Countries

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  • Virginia Maestri
  • Andrea Roventini

Abstract

In this work, we study the short- and long-run properties of different inequality series vis-\`{a}-vis the most important macroeconomic series for a set of OECD countries. We employ standard tools of time series macro-econometrics (e.g. stationarity tests, detrending, comovements analysis, Granger-causality tests, etc.) in order to possible uncover some fresh stylized facts about inequality. The broad picture emerging from our empirical analysis is one where some common patterns coexist together with several country specificities. More specifically, most of inequality series are not stationary; long-run equilibrium relationships between share prices and inequality emerge in Canada, the U.S., and the U.K.; at the business cycle frequencies, most inequality series are counter-cyclical (with the exception of Germany), negatively correlated with inflation and positively correlated with unemployment; consumption inequality is counter-cyclical in Europe, whereas pro-cyclical in English-speaking countries; the comovements between inequality series and government consumption appear to be heavily dependent on the institutions of the countries under analysis; Granger-causality tests suggest that in some cases inequality Granger-causes output.

Suggested Citation

  • Virginia Maestri & Andrea Roventini, 2012. "Inequality and Macroeconomic Factors: A Time-Series Analysis for a Set of OECD Countries," LEM Papers Series 2012/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  • Handle: RePEc:ssa:lemwps:2012/21
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    References listed on IDEAS

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    Cited by:

    1. Dosi, G. & Pereira, M.C. & Roventini, A. & Virgillito, M.E., 2017. "When more flexibility yields more fragility: The microfoundations of Keynesian aggregate unemployment," Journal of Economic Dynamics and Control, Elsevier, vol. 81(C), pages 162-186.
    2. repec:spr:qualqt:v:52:y:2018:i:5:d:10.1007_s11135-017-0676-3 is not listed on IDEAS
    3. Mehmet Balcilar & Shinhye Chang & Rangan Gupta & Stephen M. Miller, 2018. "The relationship between the inflation rate and inequality across U.S. states: a semiparametric approach," Quality & Quantity: International Journal of Methodology, Springer, vol. 52(5), pages 2413-2425, September.
    4. N'Yilimon Nantob, 2015. "Income Inequality and Inflation in Developing Countries: An Empirical Investigation," Economics Bulletin, AccessEcon, vol. 35(4), pages 2888-2902.
    5. repec:prg:jnlpep:v:2017:y:2017:i:6:id:630:p:633-645 is not listed on IDEAS
    6. John C. Anyanwu, 2016. "Empirical Analysis of the Main Drivers of Income Inequality in Southern Africa," Annals of Economics and Finance, Society for AEF, vol. 17(2), pages 337-364, November.
    7. Luca Agnello & Giorgio Fazio & Ricardo M. Sousa, 2016. "National fiscal consolidations and regional inequality in Europe," Cambridge Journal of Regions, Economy and Society, Cambridge Political Economy Society, vol. 9(1), pages 59-80.
    8. repec:prg:jnlpep:v:preprint:id:630:p:1-13 is not listed on IDEAS
    9. Pierre Monnin, 2014. "Inflation and Income Inequality in Developed Economies," Working Papers 1401, Council on Economic Policies.

    More about this item

    Keywords

    inequality; business cycles; detrending; cross-correlations; non-stationarity; cointegration; Granger causality tests;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • D3 - Microeconomics - - Distribution
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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