2012/21 | LEM Working Paper Series | |
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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 |
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Keywords | ||
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inequality, business cycles, detrending, cross-correlations, non-stationarity, cointegration, Granger causality tests
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JEL Classifications | ||
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C10, D3, E32
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Abstract | ||
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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.
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