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Pré-Publication, Document De Travail Année : 2013

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

Résumé

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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Dates et versions

halshs-00916947 , version 1 (11-12-2013)

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  • HAL Id : halshs-00916947 , version 1

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Jean-Sébastien Pentecôte. Fear of a two-speed monetary union: what does a basic correlation scatter plot tell us?. 2013. ⟨halshs-00916947⟩
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