Cargando…

Coupled Criticality Analysis of Inflation and Unemployment

In this paper, we focus on the critical periods in the economy that are characterized by unusual and large fluctuations in macroeconomic indicators, like those measuring inflation and unemployment. We analyze U.S. data for 70 years from 1948 until 2018. To capture their fluctuation essence, we conce...

Descripción completa

Detalles Bibliográficos
Autores principales: Koohi Lai, Zahra, Namaki, Ali, Hosseiny, Ali, Jafari, Gholamreza, Ausloos, Marcel
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2020
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7824125/
https://www.ncbi.nlm.nih.gov/pubmed/33396720
http://dx.doi.org/10.3390/e23010042
_version_ 1783640000573734912
author Koohi Lai, Zahra
Namaki, Ali
Hosseiny, Ali
Jafari, Gholamreza
Ausloos, Marcel
author_facet Koohi Lai, Zahra
Namaki, Ali
Hosseiny, Ali
Jafari, Gholamreza
Ausloos, Marcel
author_sort Koohi Lai, Zahra
collection PubMed
description In this paper, we focus on the critical periods in the economy that are characterized by unusual and large fluctuations in macroeconomic indicators, like those measuring inflation and unemployment. We analyze U.S. data for 70 years from 1948 until 2018. To capture their fluctuation essence, we concentrate on the non-Gaussianity of their distributions. We investigate how the non-Gaussianity of these variables affects the coupling structure of them. We distinguish “regular” from “rare” events, in calculating the correlation coefficient, emphasizing that both cases might lead to a different response of the economy. Through the “multifractal random wall” model, one can see that the non-Gaussianity depends on time scales. The non-Gaussianity of unemployment is noticeable only for periods shorter than one year; for longer periods, the fluctuation distribution tends to a Gaussian behavior. In contrast, the non-Gaussianities of inflation fluctuations persist for all time scales. We observe through the “bivariate multifractal random walk” that despite the inflation features, the non-Gaussianity of the coupled structure is finite for scales less than one year, drops for periods larger than one year, and becomes small for scales greater than two years. This means that the footprint of the monetary policies intentionally influencing the inflation and unemployment couple is observed only for time horizons smaller than two years. Finally, to improve some understanding of the effect of rare events, we calculate high moments of the variables’ increments for various q orders and various time scales. The results show that coupling with high moments sharply increases during crises.
format Online
Article
Text
id pubmed-7824125
institution National Center for Biotechnology Information
language English
publishDate 2020
publisher MDPI
record_format MEDLINE/PubMed
spelling pubmed-78241252021-02-24 Coupled Criticality Analysis of Inflation and Unemployment Koohi Lai, Zahra Namaki, Ali Hosseiny, Ali Jafari, Gholamreza Ausloos, Marcel Entropy (Basel) Article In this paper, we focus on the critical periods in the economy that are characterized by unusual and large fluctuations in macroeconomic indicators, like those measuring inflation and unemployment. We analyze U.S. data for 70 years from 1948 until 2018. To capture their fluctuation essence, we concentrate on the non-Gaussianity of their distributions. We investigate how the non-Gaussianity of these variables affects the coupling structure of them. We distinguish “regular” from “rare” events, in calculating the correlation coefficient, emphasizing that both cases might lead to a different response of the economy. Through the “multifractal random wall” model, one can see that the non-Gaussianity depends on time scales. The non-Gaussianity of unemployment is noticeable only for periods shorter than one year; for longer periods, the fluctuation distribution tends to a Gaussian behavior. In contrast, the non-Gaussianities of inflation fluctuations persist for all time scales. We observe through the “bivariate multifractal random walk” that despite the inflation features, the non-Gaussianity of the coupled structure is finite for scales less than one year, drops for periods larger than one year, and becomes small for scales greater than two years. This means that the footprint of the monetary policies intentionally influencing the inflation and unemployment couple is observed only for time horizons smaller than two years. Finally, to improve some understanding of the effect of rare events, we calculate high moments of the variables’ increments for various q orders and various time scales. The results show that coupling with high moments sharply increases during crises. MDPI 2020-12-30 /pmc/articles/PMC7824125/ /pubmed/33396720 http://dx.doi.org/10.3390/e23010042 Text en © 2020 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Koohi Lai, Zahra
Namaki, Ali
Hosseiny, Ali
Jafari, Gholamreza
Ausloos, Marcel
Coupled Criticality Analysis of Inflation and Unemployment
title Coupled Criticality Analysis of Inflation and Unemployment
title_full Coupled Criticality Analysis of Inflation and Unemployment
title_fullStr Coupled Criticality Analysis of Inflation and Unemployment
title_full_unstemmed Coupled Criticality Analysis of Inflation and Unemployment
title_short Coupled Criticality Analysis of Inflation and Unemployment
title_sort coupled criticality analysis of inflation and unemployment
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7824125/
https://www.ncbi.nlm.nih.gov/pubmed/33396720
http://dx.doi.org/10.3390/e23010042
work_keys_str_mv AT koohilaizahra coupledcriticalityanalysisofinflationandunemployment
AT namakiali coupledcriticalityanalysisofinflationandunemployment
AT hosseinyali coupledcriticalityanalysisofinflationandunemployment
AT jafarigholamreza coupledcriticalityanalysisofinflationandunemployment
AT ausloosmarcel coupledcriticalityanalysisofinflationandunemployment