Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory

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Dräger, Lena; Kolaiti, Theoplasti; Sibbertsen, Philipp: Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory. Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020. DOI: https://doi.org/10.15488/9781

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Sum total of downloads: 107




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This paper measures the convergence or divergence of EMU inflation rates and industrial production by testing for the existence of fractional cointegration relations. The notion of fractional cointegration allows for long-term equilibria with a higher degree of persistence than allowed for in the standard cointegration framework. We investigate both inflation and industrial production of EMU countries beginning with the introduction of the common currency and including the financial crisis and post-crisis period. Core as well as periphery countries are included in the study. By modelling possible breaks in the persistence structure we find evidence of fractional cointegration as well as a lower persistence before the crisis and a higher persistence by less evidence for fractional cointegration during the crisis. A second break which indicates the end of the crisis can be found as well. In addition, higher inflation persistence can be found for periphery than for core countries.
License of this version: CC BY 3.0 DE
Document Type: report
Publishing status: publishedVersion
Issue Date: 2020
Appears in Collections:GRK Antrag USE

distribution of downloads over the selected time period:

downloads by country:

pos. country downloads
total perc.
1 image of flag of Germany Germany 59 55.14%
2 image of flag of Spain Spain 9 8.41%
3 image of flag of Tunisia Tunisia 5 4.67%
4 image of flag of United States United States 4 3.74%
5 image of flag of Slovakia Slovakia 4 3.74%
6 image of flag of No geo information available No geo information available 3 2.80%
7 image of flag of Italy Italy 3 2.80%
8 image of flag of Norway Norway 2 1.87%
9 image of flag of Czech Republic Czech Republic 2 1.87%
10 image of flag of Canada Canada 2 1.87%
    other countries 14 13.08%

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