دورية أكاديمية
Coupled Criticality Analysis of Inflation and Unemployment.
| العنوان: | Coupled Criticality Analysis of Inflation and Unemployment. |
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| المؤلفون: | Koohi Lai Z; Department of Physics, Islamic Azad University, Firoozkooh Branch, Firoozkooh 3981838381, Iran., Namaki A; Department of Finance, Faculty of Management, University of Tehran, Tehran 1411713114, Iran.; Iran Finance Association, Tehran 1411713114, Iran., Hosseiny A; Department of Physics, Shahid Beheshti University, Tehran 1983969411, Iran., Jafari G; Department of Physics, Shahid Beheshti University, Tehran 1983969411, Iran.; Center for Network Science, Central European University, 1051 Budapest, Hungary., Ausloos M; School of Business, College of Social Sciences, Arts, and Humanities, Brookfield, University of Leicester, Leicester LE2 1RQ, UK.; Group of Researchers for Applications of Physics in Economy and Sociology (GRAPES), Rue de la belle jardinière, 483, Sart Tilman, Angleur, B-4031 Liege, Belgium.; Department of Statistics and Econometrics, Bucharest University of Economic Studies, Calea Dorobantilor 15-17, Sector 1, 010552 Bucharest, Romania. |
| المصدر: | Entropy (Basel, Switzerland) [Entropy (Basel)] 2020 Dec 30; Vol. 23 (1). Date of Electronic Publication: 2020 Dec 30. |
| نوع المنشور: | Journal Article |
| اللغة: | English |
| بيانات الدورية: | Publisher: MDPI Country of Publication: Switzerland NLM ID: 101243874 Publication Model: Electronic Cited Medium: Internet ISSN: 1099-4300 (Electronic) Linking ISSN: 10994300 NLM ISO Abbreviation: Entropy (Basel) Subsets: PubMed not MEDLINE |
| أسماء مطبوعة: | Original Publication: Basel, Switzerland : MDPI, 1999- |
| مستخلص: | 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. |
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| فهرسة مساهمة: | Keywords: bivariate multifractal random walk; complex systems; inflation; non-Gaussianity; unemployment |
| تواريخ الأحداث: | Date Created: 20210105 Latest Revision: 20240330 |
| رمز التحديث: | 20240330 |
| مُعرف محوري في PubMed: | PMC7824125 |
| DOI: | 10.3390/e23010042 |
| PMID: | 33396720 |
| قاعدة البيانات: | MEDLINE |
Full Text Finder | تدمد: | 1099-4300 |
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| DOI: | 10.3390/e23010042 |