Dataset Information

Cross-country connectedness in inflation and unemployment: measurement and macroeconomic consequences.

ABSTRACT: We bring the notion of connectedness (Diebold and Yilmaz, Int J Forecast 28(1):57-66 2012) to a set of two critical macroeconomic variables as inflation and unemployment. We focus on the G7 economies plus Spain, and use monthly data-high-frequency data in a macro setting-to explore the extent and consequences of total and directional volatility spillovers across variables and countries. We find that total connectedness is larger for prices (58.28%) than for unemployment (41.81%). We also identify asymmetries per country that result in higher short-run Phillips curve trade-offs in recessions and lower trade-offs in expansions. Besides, by exploring time-varying connectedness (resulting from country-specific shocks), we find that volatility spillovers magnify in periods of common economic turmoil such as the Global Financial Crisis. Our results call for an enhancement of international macroeconomic policy coordination.

Supplementary information

The online version contains supplementary material available at 10.1007/s00181-021-02052-0.

SUBMITTER: Pham BT

PROVIDER: S-EPMC8056377 | biostudies-literature | 2021 Apr

REPOSITORIES: biostudies-literature

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Cross-country connectedness in inflation and unemployment: measurement and macroeconomic consequences.

Pham Binh Thai BT Sala Hector H

Empirical economics 20210420 3

We bring the notion of connectedness (Diebold and Yilmaz, Int J Forecast 28(1):57-66 2012) to a set of two critical macroeconomic variables as inflation and unemployment. We focus on the G7 economies plus Spain, and use monthly data-high-frequency data in a macro setting-to explore the extent and consequences of total and directional volatility spillovers across variables and countries. We find that total connectedness is larger for prices (58.28%) than for unemployment (41.81%). We also identif ...[more]

PMID: 33897094

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Project description:The COVID-19 pandemic has had a devastating impact on the global economy. In this paper, we use the Phillips curve to compare and analyze the macroeconomics of three different countries with distinct income levels, namely, lower-middle (Nigeria), upper-middle (South Africa), and high (Canada) income. We aim to (1) find macroeconomic changes in the three countries during the pandemic compared to pre-pandemic time, (2) compare the countries in terms of response to the COVID-19 economic crisis, and (3) compare their expected economic reaction to the COVID-19 pandemic in the near future. An advantage to our work is that we analyze macroeconomics on a monthly basis to capture the shocks and rapid changes caused by on and off rounds of lockdowns. We use the volume and social sentiments of the Twitter data to approximate the macroeconomic statistics. We apply four different machine learning algorithms to estimate the unemployment rate of South Africa and Nigeria on monthly basis. The results show that at the beginning of the pandemic the unemployment rate increased for all the three countries. However, Canada was able to control and reduce the unemployment rate during the COVID-19 pandemic. Nonetheless, in line with the Phillips curve short-run, the inflation rate of Canada increased to a level that has never occurred in more than fifteen years. Nigeria and South Africa have not been able to control the unemployment rate and did not return to the pre-COVID-19 level. Yet, the inflation rate has increased in both countries. The inflation rate is still comparable to the pre-COVID-19 level in South Africa, but based on the Phillips curve short-run, it will increase further, if the unemployment rate decreases. Unfortunately, Nigeria is experiencing a horrible stagflation and a wild increase in both unemployment and inflation rates. This shows how vulnerable lower-middle-income countries could be to lockdowns and economic restrictions. In the near future, the main concern for all the countries is the high inflation rate. This work can potentially lead to more targeted and publicly acceptable policies based on social media content.

Project description:BACKGROUND:There is raised risk of mortality following unemployment, and reviews have consistently found worse psychological health among the unemployed. Inflammation is increasingly implicated as a mediating factor relating stress to physical disease and is strongly linked to depression. Inflammation may, therefore, be implicated in processes associated with excess mortality and morbidity during unemployment. This study examined associations of unemployment with inflammatory markers among working-age men and women from England and Scotland. METHODS:Cross-sectional analyses using data from the Health Survey for England and the Scottish Health Survey collected between 1998 and 2010. Systemic inflammation was indexed by serum concentrations of C reactive protein (CRP) and fibrinogen, and compared between participants currently employed/self-employed, currently unemployed and other groups. RESULTS:CRP, fibrinogen and odds of CRP >3 mg/L were all significantly raised for the unemployed, as compared to the employed participants (eg, OR for CRP >3 mg/L=1.43, CI 1.15 to 1.78 N=23 025), following adjustment for age, gender, occupational social class, housing tenure, smoking, alcohol consumption, body mass index, long-term illness and depressive/anxiety symptoms. Strengths of associations varied considerably by both age and country/region, with effects mainly driven by participants aged ≥48 and participants from Scotland, which had comparatively high unemployment during this time. CONCLUSIONS:Current unemployment is associated with elevated inflammatory markers using data from two large-scale, nationally representative UK studies. Effect modification by age suggests inflammation may be particularly involved in processes leading to ill-health among the older unemployed. Country/regional effects may suggest the relationship of unemployment with inflammation is strongly influenced by contextual factors, and/or reflect life course accumulation processes.

Project description:ObjectiveWhile macroeconomic and environmental events affect the overall economic performance of nations, there has not been much research on the effects of important macroeconomic and environmental variables and how these can influence progress. Saudi Arabia's economy relies heavily on its vast reserves of petroleum, natural gas, iron ore, gold, and copper, but its economic growth trajectory has been uneven since the 1990s. This study examines the effects of carbon emissions, rainfall, temperature, inflation, population, and unemployment on economic growth in Saudi Arabia.MethodsAnnual time series dataset covering the period 1990-2019 has been extracted from the World Bank and General Authority of Meteorology and Environmental Protection, Saudi Arabia. The Autoregressive Distributed Lag (ARDL) approach to cointegration has served to investigate the long-run relationships among the variables. Several time-series diagnostic tests have been conducted on the long-term ARDL model to check its robustness.ResultsSaudi Arabia can still achieve higher economic growth without effectively addressing its unemployment problem as both the variables are found to be highly significantly but positively cointegrated in the long-run ARDL model. While the variable of carbon emissions demonstrated a negative effect on the nation's economic growth, the variables of rainfall and temperate were to some extent cointegrated into the nation's economic growth in negative and positive ways, respectively. Like most other nations the short-run effects of inflation and population on economic growth do vary, but their long-term effects on the same are found to be positive.ConclusionsSaudi Arabia can achieve both higher economic growth and lower carbon emissions simultaneously even without effectively addressing the unemployment problem. The nation should utilize modern scientific technologies to annual rainfall losses and to reduce annual temperature in some parts of the country in order to achieve higher economic growth.

Dataset Information

Cross-country connectedness in inflation and unemployment: measurement and macroeconomic consequences.

Supplementary information

Publications

Cross-country connectedness in inflation and unemployment: measurement and macroeconomic consequences.

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