Fear of a two-speed monetary union: what does a basic correlation scatter plot tell us?

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11 décembre 2013

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HAL-SHS : économie et finance

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Archives ouvertes

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Centre pour la communication scientifique directe

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info:eu-repo/semantics/OpenAccess

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monetary union euro shock asymmetry distance VAR identification F - International Economics/F.F3 - International Finance/F.F3.F33 - International Monetary Arrangements and Institutions

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Surgical shock

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Jean-Sébastien Pentecôte, « Fear of a two-speed monetary union: what does a basic correlation scatter plot tell us? », HAL-SHS : économie et finance, ID : 10670/1.uiz4pd

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I extend the Bayoumi-Eichengreen (1993) approach by extracting new information from a scatter plot of correlation coefficients between shocks in order to better visualize how far a given country is from a monetary union. Indexes of distance and relative strength can be derived from either a nonlinear or a linear combination of correlations in connexion with distinct welfare loss functions. Using quarterly data on ten countries over 1979:I-2011:IV, shocks have become more symmetric within, but also outside, the euro area. Despite less asymmetry in shock asymmetry since 1999, new statistical tests support the idea of a two-speed EMU.

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