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

Jean-Sébastien Pentecôte ()

Working Papers from HAL

Abstract: 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.

Keywords: monetary union; euro; shock asymmetry; distance; VAR identification (search for similar items in EconPapers)
Date: 2013-12-11
New Economics Papers: this item is included in nep-eec and nep-mon
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Journal Article: Fear of a two-speed monetary union: what does a basic correlation scatter plot tell us? (2013)
Working Paper: Fear of a two-speed monetary union: what does a basic correlation scatter plot tell us? (2013)
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