Inequality and Macroeconomic Factors: A Time-Series Analysis for a Set of OECD Countries

Virginia Maestri and Andrea Roventini

No 34/2012, Working Papers from University of Verona, Department of Economics

Abstract: In this work, we study the short- and long-run properties of different inequality series vis-à-vis the most important macroeconomic series for a set of OECD countries. We employ standard tools of time series macro-econometrics (e.g. stationarity tests, detrending, comovements analysis, Granger-causality tests, etc.) in order to possible uncover some fresh stylized facts about inequality. The broad picture emerging from our empirical analysis is one where some common patterns coexist together with several country specificities. More specifically, most of inequality series are not stationary; long-run equilibrium relationships between share prices and inequality emerge in Canada, the U.S., and the U.K.; at the business cycle frequencies, most inequality series are counter-cyclical (with the exception of Germany), negatively correlated with inflation and positively correlated with unemployment; consumption inequality is counter-cyclical in Europe, whereas pro-cyclical in English-speaking countries; the comovements between inequality series and government consumption appear to be heavily dependent on the institutions of the countries under analysis; Granger-causality tests suggest that in some cases inequality Granger-causes output.

Keywords: inequality; business cycles; detrending; cross-correlations; non-stationarity; cointegration; Granger causality tests (search for similar items in EconPapers)
JEL-codes: C10 D3 E32 (search for similar items in EconPapers)
Pages: 37
Date: 2012-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

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Working Paper: Inequality and Macroeconomic Factors: A Time-Series Analysis for a Set of OECD Countries (2012)
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