Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory

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dc.identifier.uri http://dx.doi.org/10.15488/9781
dc.identifier.uri https://www.repo.uni-hannover.de/handle/123456789/9838
dc.contributor.author Dräger, Lena
dc.contributor.author Kolaiti, Theoplasti
dc.contributor.author Sibbertsen, Philipp
dc.date.accessioned 2020-04-17T14:12:06Z
dc.date.available 2020-04-17T14:12:06Z
dc.date.issued 2020
dc.identifier.citation 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
dc.description.abstract 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. eng
dc.language.iso eng
dc.publisher Hannover : Institutionelles Repositorium der Leibniz Universität Hannover
dc.rights CC BY 3.0 DE
dc.rights.uri https://creativecommons.org/licenses/by/3.0/de/
dc.subject EMU in ation rates eng
dc.subject industrial production eng
dc.subject fractional cointegratio persistence breaks eng
dc.subject.ddc 330 | Wirtschaft
dc.title Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory eng
dc.type report
dc.type Text
dc.description.version publishedVersion
tib.accessRights frei zug�nglich


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