Revisiting the Nexus of Wages, Prices and Private Consumption in the EMU Period through Graphical Multivariate Panel Data Models
This paper aims to analyse the dynamic relationships between prices, wages and private consumption for a sample of the 12 initial EMU members for the period 1999-2019. To do so, we adopt a novel approach based on panel-VAR models that allows to perform a multivariate Granger causality analysis betw...
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| Format: | Article |
| Language: | English |
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Universidad de Huelva
2025-08-01
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| Series: | Revista de Economía Mundial |
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| Online Access: | https://www.uhu.es/publicaciones/ojs/index.php/REM/article/view/8365 |
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| author | Celia Gil-Bermejo Lazo Jorge Onrubia Antonio Jesús Sánchez-Fuentes |
| author_facet | Celia Gil-Bermejo Lazo Jorge Onrubia Antonio Jesús Sánchez-Fuentes |
| author_sort | Celia Gil-Bermejo Lazo |
| collection | DOAJ |
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This paper aims to analyse the dynamic relationships between prices, wages and private consumption for a sample of the 12 initial EMU members for the period 1999-2019. To do so, we adopt a novel approach based on panel-VAR models that allows to perform a multivariate Granger causality analysis between the variables mentioned within a complex information system which also includes labour market and economic cycle variables. In a second stage, we complete this analysis with application of the iterative PC algorithm that allows us to interpret the results of the model in the lines of graphic theory and causal graphs methods. The results obtained reveal a causal relationship from prices to wages, supporting the wage indexation hypothesis for the whole sample. On the contrary, we do not find evidence of wages causing any increase of prices, which enables us to disregard the wage-inflation hypothesis. Additionally, the approach adopted enables country-specific analyses, which are essential for understanding the specificities of each economy. In this regard, we find that Ireland is the only country where private consumption appears to exert pressure on prices. Meanwhile, Mediterranean economies like Spain and Greece seem to follow a debt-led model where private consumption drives wage levels.
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| format | Article |
| id | doaj-art-c4c9b89b99074c18b1f4b780fcf880bb |
| institution | Kabale University |
| issn | 1576-0162 2340-4264 |
| language | English |
| publishDate | 2025-08-01 |
| publisher | Universidad de Huelva |
| record_format | Article |
| series | Revista de Economía Mundial |
| spelling | doaj-art-c4c9b89b99074c18b1f4b780fcf880bb2025-08-20T03:41:07ZengUniversidad de HuelvaRevista de Economía Mundial1576-01622340-42642025-08-017010.33776/rem.v70i.8365Revisiting the Nexus of Wages, Prices and Private Consumption in the EMU Period through Graphical Multivariate Panel Data Models Celia Gil-Bermejo Lazo0Jorge Onrubia1Antonio Jesús Sánchez-Fuentes2ICEI-UCMICEI - UCM - FEDEAICEI-UCM This paper aims to analyse the dynamic relationships between prices, wages and private consumption for a sample of the 12 initial EMU members for the period 1999-2019. To do so, we adopt a novel approach based on panel-VAR models that allows to perform a multivariate Granger causality analysis between the variables mentioned within a complex information system which also includes labour market and economic cycle variables. In a second stage, we complete this analysis with application of the iterative PC algorithm that allows us to interpret the results of the model in the lines of graphic theory and causal graphs methods. The results obtained reveal a causal relationship from prices to wages, supporting the wage indexation hypothesis for the whole sample. On the contrary, we do not find evidence of wages causing any increase of prices, which enables us to disregard the wage-inflation hypothesis. Additionally, the approach adopted enables country-specific analyses, which are essential for understanding the specificities of each economy. In this regard, we find that Ireland is the only country where private consumption appears to exert pressure on prices. Meanwhile, Mediterranean economies like Spain and Greece seem to follow a debt-led model where private consumption drives wage levels. https://www.uhu.es/publicaciones/ojs/index.php/REM/article/view/8365PricesWagesPrivate ConsumptionGranger causalityCausal maps |
| spellingShingle | Celia Gil-Bermejo Lazo Jorge Onrubia Antonio Jesús Sánchez-Fuentes Revisiting the Nexus of Wages, Prices and Private Consumption in the EMU Period through Graphical Multivariate Panel Data Models Revista de Economía Mundial Prices Wages Private Consumption Granger causality Causal maps |
| title | Revisiting the Nexus of Wages, Prices and Private Consumption in the EMU Period through Graphical Multivariate Panel Data Models |
| title_full | Revisiting the Nexus of Wages, Prices and Private Consumption in the EMU Period through Graphical Multivariate Panel Data Models |
| title_fullStr | Revisiting the Nexus of Wages, Prices and Private Consumption in the EMU Period through Graphical Multivariate Panel Data Models |
| title_full_unstemmed | Revisiting the Nexus of Wages, Prices and Private Consumption in the EMU Period through Graphical Multivariate Panel Data Models |
| title_short | Revisiting the Nexus of Wages, Prices and Private Consumption in the EMU Period through Graphical Multivariate Panel Data Models |
| title_sort | revisiting the nexus of wages prices and private consumption in the emu period through graphical multivariate panel data models |
| topic | Prices Wages Private Consumption Granger causality Causal maps |
| url | https://www.uhu.es/publicaciones/ojs/index.php/REM/article/view/8365 |
| work_keys_str_mv | AT celiagilbermejolazo revisitingthenexusofwagespricesandprivateconsumptionintheemuperiodthroughgraphicalmultivariatepaneldatamodels AT jorgeonrubia revisitingthenexusofwagespricesandprivateconsumptionintheemuperiodthroughgraphicalmultivariatepaneldatamodels AT antoniojesussanchezfuentes revisitingthenexusofwagespricesandprivateconsumptionintheemuperiodthroughgraphicalmultivariatepaneldatamodels |