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

Author

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  • Virginia Maestri
  • Andrea Roventini
Abstract
In this work, we study the short- and long-run properties of different inequality series vis-\`{a}-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.

Suggested Citation

  • Virginia Maestri & Andrea Roventini, 2012. "Inequality and Macroeconomic Factors: A Time-Series Analysis for a Set of OECD Countries," LEM Papers Series 2012/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    • Handle: RePEc:ssa:lemwps:2012/21
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    Cited by:

    1. Dosi, G. & Pereira, M.C. & Roventini, A. & Virgillito, M.E., 2017. "When more flexibility yields more fragility: The microfoundations of Keynesian aggregate unemployment," Journal of Economic Dynamics and Control, Elsevier, vol. 81(C), pages 162-186.
    2. Dosi, Giovanni & Pereira, Marcelo C. & Roventini, Andrea & Virgillito, Maria Enrica, 2018. "The labour-augmented K+S model: a laboratory for the analysis of institutional and policy regimes," GLO Discussion Paper Series 241, Global Labor Organization (GLO).
    3. Batuo, Michael E. & Kararach, George & Malki, Issam, 2022. "The dynamics of income inequality in Africa: An empirical investigation on the role of macroeconomic and institutional forces," World Development, Elsevier, vol. 157(C).
    4. Dimitris Christopoulos & Peter Mcadam, 2017. "On the Persistence of Cross‐Country Inequality Measures," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(1), pages 255-266, February.
    5. repec:hal:spmain:info:hdl:2441/5rtilga41c899ab0rctd3cp2r3 is not listed on IDEAS
    6. Sohag, Kazi & Badur, Mesut M. & Ameer, Waqar & Vilamová, Šárka, 2024. "Does ICT diffusion validate skill-biased technological change hypothesis? Evidence from the post-Soviet countries," Technology in Society, Elsevier, vol. 76(C).
    7. Batuo E. Michael & George Kararach & Issam Malki, 2021. "Working Paper 353 - Inequality and the role of macroeconomic and institutional forces in Africa," Working Paper Series 2479, African Development Bank.
    8. Mbazia, Nadia, 2017. "Inequality and Growth in Tunisia: Empirical evidence on the role of macroeconomic factors," MPRA Paper 81127, University Library of Munich, Germany.
    9. repec:spo:wpmain:info:hdl:2441/5rtilga41c899ab0rctd3cp2r3 is not listed on IDEAS
    10. Rolim, Lilian & Carvalho, Laura & Lang, Dany, 2024. "Monetary policy rules and the inequality-augmented Phillips curve," Economic Modelling, Elsevier, vol. 139(C).
    11. Pierre Monnin, 2014. "Inflation and Income Inequality in Developed Economies," Working Papers 1401, Council on Economic Policies.
    12. Lilian N. Rolim & Carolina Troncoso Baltar & Gilberto Tadeu Lima, 2023. "Income distribution, productivity growth, and workers’ bargaining power in an agent-based macroeconomic model," Journal of Evolutionary Economics, Springer, vol. 33(2), pages 473-516, April.
    13. Mehmet Balcilar & Shinhye Chang & Rangan Gupta & Stephen M. Miller, 2018. "The relationship between the inflation rate and inequality across U.S. states: a semiparametric approach," Quality & Quantity: International Journal of Methodology, Springer, vol. 52(5), pages 2413-2425, September.
    14. Ha,Jongrim & Ivanova,Anna & Ohnsorge,Franziska Lieselotte & Unsal Portillo Ocando,Derya Filiz, 2019. "Inflation : Concepts, Evolution, and Correlates," Policy Research Working Paper Series 8738, The World Bank.
    15. Bucevska Vesna, 2019. "Determinants of Income Inequality in EU Candidate Countries: A Panel Analysis," Economic Themes, Sciendo, vol. 57(4), pages 397-413, December.
    16. N'Yilimon Nantob, 2015. "Income Inequality and Inflation in Developing Countries: An Empirical Investigation," Economics Bulletin, AccessEcon, vol. 35(4), pages 2888-2902.
    17. Arkadiusz Sieron, 2017. "Inflation and Income Inequality," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(6), pages 633-645.
    18. repec:spo:wpmain:info:hdl:2441/9d007rc2q9huruni0kde2vr73 is not listed on IDEAS
    19. Renee van Eyden & Rangan Gupta & Xin Sheng & Mark E. Wohar, 2019. "Impact of Oil Price Volatility on State-Level Consumption of the United States: The Role of Oil Dependence," Working Papers 201969, University of Pretoria, Department of Economics.
    20. John C. Anyanwu, 2016. "Empirical Analysis of the Main Drivers of Income Inequality in Southern Africa," Annals of Economics and Finance, Society for AEF, vol. 17(2), pages 337-364, November.
    21. Luca Agnello & Giorgio Fazio & Ricardo M. Sousa, 2016. "National fiscal consolidations and regional inequality in Europe," Cambridge Journal of Regions, Economy and Society, Cambridge Political Economy Society, vol. 9(1), pages 59-80.
    22. repec:prg:jnlpep:v:preprint:id:630:p:1-13 is not listed on IDEAS
    23. Topcu, Mert & Tugcu, Can Tansel, 2020. "The impact of renewable energy consumption on income inequality: Evidence from developed countries," Renewable Energy, Elsevier, vol. 151(C), pages 1134-1140.
    24. repec:hal:spmain:info:hdl:2441/9d007rc2q9huruni0kde2vr73 is not listed on IDEAS

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    More about this item

    Keywords

    inequality; business cycles; detrending; cross-correlations; non-stationarity; cointegration; Granger causality tests;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • D3 - Microeconomics - - Distribution
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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