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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...
Autores principales: | , , , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
MDPI
2020
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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 |
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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 |
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