Particulate Matter 10 (PM10): Persistence and Trends in Eight European Capitals

15 Pages Posted: 7 Jul 2020

See all articles by Guglielmo Maria Caporale

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Luis A. Gil-Alana

University of Navarra - Department of Economics

Nieves Carmona-González

Francisco de Vitoria University

Date Written: 2020

Abstract

This paper examines the statistical properties of daily PM10 in eight European capitals (Amsterdam, Berlin, Brussels, Helsinki, London, Luxembourg, Madrid and Paris) over the period 2014-2020 by applying a fractional integration framework; this is more general than the standard approach based on the classical dichotomy between I(0) stationary and I(1) non-stationary series used in most other studies on air pollutants. All series are found to be characterised by long memory and fractional integration, with orders of integration in the range (0, 1), which implies that mean reversion occurs and shocks do not have permanent effects. Persistence is highest in the case of Brussels, Amsterdam and London. The presence of negative trends in Brussels, Paris and Berlin indicates some degree of success in reducing pollution in these capitals.

Keywords: fractional integration, long memory, persistence, trends, air pollutants, PM10

JEL Classification: C220, Q530

Suggested Citation

Caporale, Guglielmo Maria and Gil-Alana, Luis A. and Carmona-González, Nieves, Particulate Matter 10 (PM10): Persistence and Trends in Eight European Capitals (2020). CESifo Working Paper No. 8402, Available at SSRN: https://ssrn.com/abstract=3644816

Guglielmo Maria Caporale (Contact Author)

Brunel University London - Department of Economics and Finance ( email )

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London South Bank University ( email )

Centre for Monetary and Financial Economics
London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstraße 58
Berlin, 10117
Germany

Luis A. Gil-Alana

University of Navarra - Department of Economics ( email )

Campus de Arrosadia
Pamplona, 31006
Spain

Nieves Carmona-González

Francisco de Vitoria University

Spain

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