世界経済・社会統計 = World development indicators

In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

Forecasting, Structural Time Series Models and the Kalman Filter

We investigate whether income inequality affects subsequent growth in a cross-country sample for 1965-90, using the models of Barro (1997), Bleaney and Nishiyama (2002) and Sachs and Warner (1997), with negative results. We then investigate the evolution of income inequality over the same period and its correlation with growth. The dominating feature is inequality convergence across countries. This convergence has been significantly faster amongst developed countries. Growth does not appear to influence the evolution of inequality over time. Outline

https://www.econstor.eu/bitstream/10419/81822/1/02-28.pdf

Economic growth and income inequality

This paper presents the overview of the Shared Socioeconomic Pathways (SSPs) and their energy, land use, and emissions implications. The SSPs are part of a new scenario framework, established by the climate change research community in order to facilitate the integrated analysis of future climate impacts, vulnerabilities, adaptation, and mitigation. The pathways were developed over the last years as a joint community effort and describe plausible major global developments that together would lead in the future to different challenges for mitigation and adaptation to climate change. The SSPs are based on five narratives describing alternative socio-economic developments, including sustainable development, regional rivalry, inequality, fossil-fueled development, and middle-of-the-road development. The long-term demographic and economic projections of the SSPs depict a wide uncertainty range consistent with the scenario literature. A multi-model approach was used for the elaboration of the energy, land-use and the emissions trajectories of SSP-based scenarios. The baseline scenarios lead to global energy consumption of 400–1200 EJ in 2100, and feature vastly different land-use dynamics, ranging from a possible reduction in cropland area up to a massive expansion by more than 700 million hectares by 2100. The associated annual CO 2 emissions of the baseline scenarios range from about 25 GtCO 2 to more than 120 GtCO 2 per year by 2100. With respect to mitigation, we find that associated costs strongly depend on three factors: (1) the policy assumptions, (2) the socio-economic narrative, and (3) the stringency of the target. The carbon price for reaching the target of 2.6 W/m 2 that is consistent with a temperature change limit of 2 °C, differs in our analysis thus by about a factor of three across the SSP marker scenarios. Moreover, many models could not reach this target from the SSPs with high mitigation challenges. While the SSPs were designed to represent different mitigation and adaptation challenges, the resulting narratives and quantifications span a wide range of different futures broadly representative of the current literature. This allows their subsequent use and development in new assessments and research projects. Critical next steps for the community scenario process will, among others, involve regional and sectoral extensions, further elaboration of the adaptation and impacts dimension, as well as employing the SSP scenarios with the new generation of earth system models as part of the 6th climate model intercomparison project (CMIP6).

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The Shared Socioeconomic Pathways and their energy, land use, and greenhouse gas emissions implications: An overview

This paper presents a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model. This global VAR is estimated for 26 countries, the euro area being treated as a single economy. This paper proposes two important extensions of previous research (see Pesaran, Schuermann and Weiner, 2004). First, it provides a theoretical framework where the GVAR is derived as an approximation to a global unobserved common factor model. Also using average pair-wise cross-section error correlations, the GVAR approach is shown to be quite effective in dealing with the common factor interdependencies and international comovements of business cycles. Second, in addition to generalised impulse response functions, we propose an identification scheme to derive structural impulse responses. We focus on identification of shocks to the US economy, particularly the monetary policy shocks, and consider the time profiles of their effects on the euro area. To this end we include the US model as the first country model and consider alternative orderings of the US variables. Further to the US monetary policy shock, we also consider oil price, US equity and US real output shocks.

Exploring the International Linkages of the Euro Area: a Global VAR Analysis

1. INTRODUCTION Countries participating in a currency area face benefits and costs of the common currency. The benefits are directly related to transaction costs in countries' bilateral trade. Therefore, countries with intensive trade relations are likely to gain relatively more from the monetary integration. In addition, Frankel and Rose (1997, 1998) hypothesize that business cycles are also becoming more similar across countries having intensive trade links. This hypothesis is supported by cross-section estimations of the relation between the correlation of business cycles and trade intensity among Organisation for Economic Co-operation and Development (OECD) countries between 1959 and 1993. Moreover, Fatas (1997) and Hochreiter and Winckler (1995) show that a common European business cycle has been emerging as predicted by the endogeneity hypothesis of optimum currency area (OCA) criteria. Nevertheless, there remains considerable doubt whether there is a causal relationship between trade links and the correlation of business cycles in the involved countries. Kose et al. (2003) find only weak evidence for the hypothesis that increased trade and financial flows have increased the synchronization of business cycles. Kenen (2000) notes that the correlation of business cycles may increase with the intensity of trade links between these countries, but he argues that this does not necessarily mean that asymmetric shocks are reduced as well. Moreover, Hughes Hallett and Piscitelli (2001) show that a currency union may increase cyclical convergence, but only if there is already a sufficient symmetry in the shocks and institutional structure across the countries. Their findings thus support Krugman's (1993) discussion of the implications from the U.S. currency union for the Economic and Monetary Union (EMU) in Europe. In Krugman's view, trade liberalization facilitates increased specialization according to comparative advantage of countries and possibly a divergence of business cycles in the EMU. Furthermore, Frankel and Rose's work lacks a stronger relation to trade structure, (1) which should also explain the similarity of business cycles, although they use intraindustry trade (IIT) as an argument. In particular, the effects of trade on the convergence of business cycles depend on the degree of industrial specialization induced by the integration. Indeed, Helpman (1987) and Hummels and Levinsohn (1995) find that trade specialization plays a lesser role for trade among developed economies. Thus a majority of trade is observed within the same industries (the so called IIT). This should imply increasing correlation of business cycles between these countries. Therefore, this article tests the OCA endogeneity using bilateral levels of IIT between OECD countries in the 1990s. It is shown that IIT induces the convergence of business cycles between trading partners, but there is no direct relation between business cycle and trade intensity. As a result, the OCA endogeneity hypothesis is confirmed. However, this finding also underlines the role of the specialization in trade. Finally, the article asks whether the Central and Eastern European countries (CEECs) should introduce the euro as soon as possible after accession to the European Union (EU), or whether they should do so at a later stage. This question is addressed by applying the endogeneity hypothesis of OCA criteria to ten transition economies (Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Slovakia, and Slovenia). This article applies the relation between the degree of trade integration, the shares of IIT, and the convergence in business cycles to CEECs and EU countries to predict the degree of business cycle harmonization of CEECs with EU countries in the medium term. This approach reflects the Lucas critique insofar as it considers possible structural changes during the accession of the CEECs to the EU and the EMU. …

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The Endogeneity of the Optimum Currency Area Criteria, Intra-industry Trade, and EMU Enlargement

We review the literature on business cycle correlation between the euro area and the Central and Eastern European countries (CEECs), a topic that has gained attention as the newest EU members approach monetary union. Our meta-analysis of 35 identified publications suggests some CEECs already have comparably high correlation with the euro area business cycle. We find that estimation methodologies can have a significant effect on correlation coefficients. While CEEC central bankers tend to be more conservative in their estimates than academics or eurosystem researchers, we find no evidence of a geographical bias in the studies.

Meta-Analysis of the Business Cycle Correlation Between the Euro Area and the CEECs

https://www.econstor.eu/bitstream/10419/19157/1/cesifo1_wp1693.pdf

Meta-analysis of the business cycle correlation between the Euro Area and the CEECs

We analyze the transmission of global financial crisis to business cycles in China and India. The pattern of business cycles in emerging Asian economies generally displays a low degree of synchronization with the OECD countries, which is consistent with the decoupling hypothesis. By contrast, however, the current financial crisis has had a significant effect on economic developments in emerging Asian economies. Applying dynamic correlations, we find wide differences for different frequencies of cyclical development. More specifically, at business cycle frequencies, dynamic correlations are typically low or negative, but they are also influenced most by the global financial crisis. Finally, we find a significant link between trade ties and dynamic correlations of GDP growth rates in emerging Asian countries and OECD countries.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1437491_code1259952.pdf?abstractid=1437491&mirid=1

The Impact of the Global Financial Crisis on Business Cycles in Asian Emerging Economies

We assess the correlation of supply and demand shocks between the countries of the euro area and the accession countries in the 1990s. Shocks are recovered from estimated structural VAR models of output growth and inflation. We find that some accession countries have a quite high correlation of the underlying shocks with the euro area. However, even for many advanced accession countries, the shocks remain significantly more idiosyncratic. Furthermore, many EU countries seem to have a much higher correlation with the core euro area countries than in the previous decades. Continuing integration within the EU seems to have aligned the business cycles of these countries as well.

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Jarko Fidrmuc

Papers

The Endogeneity of the Optimum Currency Area Criteria, Intra-industry Trade, and EMU Enlargement

Meta-Analysis of the Business Cycle Correlation Between the Euro Area and the CEECs

Meta-analysis of the business cycle correlation between the Euro Area and the CEECs

The Impact of the Global Financial Crisis on Business Cycles in Asian Emerging Economies

Similarity of Supply and Demand Shocks Between the Euro Area and the CEECs