Price co-movements within currency unions

Greg Whitten

<p>&nbsp;Abstract: This paper analyzes currency union integration by testing whether price levels in member countries possess a common stochastic trend. The trace statistic test for cointegration proposed by Johansen (1995) demonstrates the presence of such a trend for most unions. A disaggregated analysis identifies a common stochastic trend for several though fewer than half of country pairs within a union, particularly compared to the set of country pairs not in unions. Some unions such as the Eurozone have small shares of cointegrated country pairs. These results provide an alternative metric to intra-union trade for gauging the extent of currency union integration.</p>

2015-06-04(星期四)16:40-18:00

N302, Econ Building

English

WISE&SOE

系列讲座

Mouhua Liao

<p>Professor in Economics, Lingnan University.</p> <p><a href="/EventsMgr/Upload/File/2015/5/20150525061745254.pdf"><u><span style="color: rgb(51, 102, 255);">Prof. Greg Whitten's CV</span></u></a></p>

“WISE-SOE”高级经济学系列讲座2015春季学期第十二讲（总第351讲）--宏观领域