NAIRU as a proxy for business cycle synchronization analysis in Euro area economy: An empirical approach
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10071/11518 |
Resumo: | Estimates of NAIRU (Non-Accelerating Inflation Rate of Unemployment) affect indirectly the assessment of structural balance, which has been increasingly used by policymakers as an indicator for the needs of an economy. Therefore, the study of NAIRU deserves a special attention given that it has necessarily impact on business cycle developments. With the previous reasoning in mind, we analyze the NAIRU synchronization between Euro Area member states from 1999 until 2014. Such exercise is useful to assess whether their cyclical position moves in tandem with each other and a single policy is supported in such context or not. The NAIRU estimates are obtained by employing a system of equations that combines a Phillips curve with the Okun law and allows the parameters to vary over time. The estimation problem is handled via Extended Kalman Filter (EKF), which is justified by the presence of non-linearity in the problem. Our results suggest that Euro Area member states have a low degree of synchronization, contrarily to what would be desirable in a monetary union context. It is, therefore, crucial to stimulate the further integration at a European Union (EU) level in the future as one of the possible paths to take with the objective of promoting economic convergence in the region. |
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NAIRU as a proxy for business cycle synchronization analysis in Euro area economy: An empirical approachNAIRUSincronização -- SynchronizationEKFZona euro -- Euro zoneEstimates of NAIRU (Non-Accelerating Inflation Rate of Unemployment) affect indirectly the assessment of structural balance, which has been increasingly used by policymakers as an indicator for the needs of an economy. Therefore, the study of NAIRU deserves a special attention given that it has necessarily impact on business cycle developments. With the previous reasoning in mind, we analyze the NAIRU synchronization between Euro Area member states from 1999 until 2014. Such exercise is useful to assess whether their cyclical position moves in tandem with each other and a single policy is supported in such context or not. The NAIRU estimates are obtained by employing a system of equations that combines a Phillips curve with the Okun law and allows the parameters to vary over time. The estimation problem is handled via Extended Kalman Filter (EKF), which is justified by the presence of non-linearity in the problem. Our results suggest that Euro Area member states have a low degree of synchronization, contrarily to what would be desirable in a monetary union context. It is, therefore, crucial to stimulate the further integration at a European Union (EU) level in the future as one of the possible paths to take with the objective of promoting economic convergence in the region.As estimativas da NAIRU (taxa de desemprego compatível com uma taxa de inflação constante) afetam indiretamente o cálculo do défice estrutural, que tem vindo a ser crescentemente utilizado por agentes políticos como indicador das carências de uma economia. Assim, o estudo da NAIRU merece toda a atenção, dado que esta tem necessariamente impacto no desenvolvimento do ciclo económico. Considerando o disposto no parágrafo anterior, pretendemos analisar a sincronização da NAIRU entre os diversos estados membros da Zona Euro, tendo em atenção o período compreendido entre 1999 e 2014. Este exercício é útil para entender se a posição cíclica das diversas economias que compõem a união monetária tem vindo a evoluir no mesmo sentido e, dessa forma, concluir se a política única que se verifica nesta região será justificável. Com o objetivo de obter estimativas da NAIRU, utilizamos um sistema de equações que combina a curva de Phillips com a lei de Okun e confere flexibilidade aos parâmetros para que estes sejam variáveis ao longo do tempo. Durante o processo de estimação recorremos ao uso do filtro de Kalman aumentado (EKF), justificado pelo facto de o problema ser não-linear. Os nossos resultados sugerem que os estados membros da Zona Euro apresentam um reduzido grau de sincronização entre si, ao contrário do que é desejável no contexto de uma união monetária. É, assim, crucial estimular a crescente integração ao nível da União Europeia (EU) como uma das possíveis alternativas a seguir para atingir um nível superior de convergência económica entre os países que a compõem.2016-06-20T15:22:42Z2015-01-01T00:00:00Z20152015-09info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/octet-streamhttp://hdl.handle.net/10071/11518TID:201209845engNunes, Luís Afonso Rosa Alves Fernandesinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:33:41Zoai:repositorio.iscte-iul.pt:10071/11518Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:15:12.185015Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
NAIRU as a proxy for business cycle synchronization analysis in Euro area economy: An empirical approach |
title |
NAIRU as a proxy for business cycle synchronization analysis in Euro area economy: An empirical approach |
spellingShingle |
NAIRU as a proxy for business cycle synchronization analysis in Euro area economy: An empirical approach Nunes, Luís Afonso Rosa Alves Fernandes NAIRU Sincronização -- Synchronization EKF Zona euro -- Euro zone |
title_short |
NAIRU as a proxy for business cycle synchronization analysis in Euro area economy: An empirical approach |
title_full |
NAIRU as a proxy for business cycle synchronization analysis in Euro area economy: An empirical approach |
title_fullStr |
NAIRU as a proxy for business cycle synchronization analysis in Euro area economy: An empirical approach |
title_full_unstemmed |
NAIRU as a proxy for business cycle synchronization analysis in Euro area economy: An empirical approach |
title_sort |
NAIRU as a proxy for business cycle synchronization analysis in Euro area economy: An empirical approach |
author |
Nunes, Luís Afonso Rosa Alves Fernandes |
author_facet |
Nunes, Luís Afonso Rosa Alves Fernandes |
author_role |
author |
dc.contributor.author.fl_str_mv |
Nunes, Luís Afonso Rosa Alves Fernandes |
dc.subject.por.fl_str_mv |
NAIRU Sincronização -- Synchronization EKF Zona euro -- Euro zone |
topic |
NAIRU Sincronização -- Synchronization EKF Zona euro -- Euro zone |
description |
Estimates of NAIRU (Non-Accelerating Inflation Rate of Unemployment) affect indirectly the assessment of structural balance, which has been increasingly used by policymakers as an indicator for the needs of an economy. Therefore, the study of NAIRU deserves a special attention given that it has necessarily impact on business cycle developments. With the previous reasoning in mind, we analyze the NAIRU synchronization between Euro Area member states from 1999 until 2014. Such exercise is useful to assess whether their cyclical position moves in tandem with each other and a single policy is supported in such context or not. The NAIRU estimates are obtained by employing a system of equations that combines a Phillips curve with the Okun law and allows the parameters to vary over time. The estimation problem is handled via Extended Kalman Filter (EKF), which is justified by the presence of non-linearity in the problem. Our results suggest that Euro Area member states have a low degree of synchronization, contrarily to what would be desirable in a monetary union context. It is, therefore, crucial to stimulate the further integration at a European Union (EU) level in the future as one of the possible paths to take with the objective of promoting economic convergence in the region. |
publishDate |
2015 |
dc.date.none.fl_str_mv |
2015-01-01T00:00:00Z 2015 2015-09 2016-06-20T15:22:42Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10071/11518 TID:201209845 |
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http://hdl.handle.net/10071/11518 |
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TID:201209845 |
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eng |
language |
eng |
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info:eu-repo/semantics/openAccess |
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openAccess |
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application/pdf application/octet-stream |
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reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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