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Choques assimétricos e identificação de "clusters" na UE
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Resumo(s)
O facto da UEM implicar, por definição, a perda de autonomia na condução da política monetária e
cambial, limitando assim os instrumentos dos Estados membros para ajustar eventuais choques
assimétricos, levou diversos autores a procurar avaliar a probabilidade da ocorrência deste tipo de
choques na futura zona-Euro. As conclusões tradicionais da literatura das Zonas Monetárias Óptimas
apontam para a existência de um grupo de países mais correlacionados entre si, os "core", incluindo a
Alemanha, Áustria, Bélgica, França e Holanda, e de outro grupo de países menos correlacionado entre si
e relativamente aos " core", os " periféricos", incluindo a Grécia, Irlanda, Espanha e Portugal. Esta ideia
correspondia à visão de uma UEM a duas velocidades e punha em causa a viabilidade de uma UEM
alargada.
No entanto, a extrapolação para a UEM das conclusões sobre choques na UE está sujeita à crítica de
Lucas ( 1976). Além disso, aquela dicotomia clássica é um resultado específico a um período de análise
entre os anos sessenta e início dos noventa.
Recorrendo a uma aplicação original da análise de "clusters" às séries de choques de oferta e procura
identificados pelo tradicional modelo VAR, procurei neste trabalho demonstrar que existe na verdade
uma Europa a várias velocidades, onde se podem distinguir pelo menos três grupos: os " core"
tradicionais, os " periféricos do Norte", incluindo os países nórdicos, a Irlanda e o Reino Unido e os
"periféricos do Sul", incluindo todos os países mediterrâneos. A análise revela ainda que este último
grupo é actualmente o mais correlacionado com os " core", fruto de uma forte convergência em relação à
Alemanha, sobretudo após o choque da reunificação alemã, com destaque para Espanha e Portugal.
Apesar desta metodologia de análise ser original na literatura sobre choques na UE. ela está em linha com
os resultados mais recentes, nomeadamente de Boone ( 1997).
The fact that EMU will, by definition, imply the loss of monetary autonomy and exchange rate flexibility, thus limiting the instruments for adjusting asymrnetric shocks available to member countries, has led economists to evaluate the probability of these shocks occurring in the future Euro-zone. The traditional Optimal Currency Arcas (OCA) literature suggests the existence of a small group of countries with highly correlated disturbances, the " core", which includes Austria, Belgium, France, Germany and the Netherlands, and another group showing more differentiated economic behaviour. the "periphery", including Greece, Ireland, Portugal and Spain. This result was welcomed by mo-speed EMU supporters and the idea of an extended monetary union was labelled as unfeasible. However, predicting the functioning of EMU on the basis of EU behaviour is subject to the Lucas ( 1976) critique. And what is more, the core-periphery dichotomy result is specific to a period between the seventies and the beginning of the nineties. This study re-examines the symmetry of supply and demand shocks, identified by the traditional VAR model, using, for the first time, cluster analysis. This novel approach reveals not a two-speed but a multispeed Europe, in which at least three eroups of countries can be distinguished: the traditional " core"; the "Northem Periphery", including Ireland. Great Britain and the Nordic countries: and the " Southern Periphery", which includes the Mediterranean countries. And, contrary to the traditional results, the analysis clearly suggests that " Southem Peripheral" countries are now closer to the core, due to a strong convergence on Gerrnany, especially ater the reunification shock. with Spain and Portugal showing the strongest convergence. Although this method is novel in the literature of shocks, the results are in line with the more recent research. especially those of Boone ( 1997).
The fact that EMU will, by definition, imply the loss of monetary autonomy and exchange rate flexibility, thus limiting the instruments for adjusting asymrnetric shocks available to member countries, has led economists to evaluate the probability of these shocks occurring in the future Euro-zone. The traditional Optimal Currency Arcas (OCA) literature suggests the existence of a small group of countries with highly correlated disturbances, the " core", which includes Austria, Belgium, France, Germany and the Netherlands, and another group showing more differentiated economic behaviour. the "periphery", including Greece, Ireland, Portugal and Spain. This result was welcomed by mo-speed EMU supporters and the idea of an extended monetary union was labelled as unfeasible. However, predicting the functioning of EMU on the basis of EU behaviour is subject to the Lucas ( 1976) critique. And what is more, the core-periphery dichotomy result is specific to a period between the seventies and the beginning of the nineties. This study re-examines the symmetry of supply and demand shocks, identified by the traditional VAR model, using, for the first time, cluster analysis. This novel approach reveals not a two-speed but a multispeed Europe, in which at least three eroups of countries can be distinguished: the traditional " core"; the "Northem Periphery", including Ireland. Great Britain and the Nordic countries: and the " Southern Periphery", which includes the Mediterranean countries. And, contrary to the traditional results, the analysis clearly suggests that " Southem Peripheral" countries are now closer to the core, due to a strong convergence on Gerrnany, especially ater the reunification shock. with Spain and Portugal showing the strongest convergence. Although this method is novel in the literature of shocks, the results are in line with the more recent research. especially those of Boone ( 1997).
Descrição
Mestrado em Economia Monetária e Financeira
Palavras-chave
choques assimétricos análise de " clusters" União Económica e Monetária teoria das Zonas Monetárias Óptimas modelos Vector Auto Regressivos método de Ward. asymmetric shocks cluster analysis Economic and Monetary Union Optimal Currency Amas Vector Auto Regression Ward's method
Contexto Educativo
Citação
Vaz, Luís Nunes de Brito Serra (1998). “Choques assimétricos e identificação de "clusters" na UE”. Dissertação de Mestrado. Universidade Técnica de Lisboa. Instituto Superior de Economia e Gestão
Editora
Instituto Superior de Economia e Gestão