Cyclical output,cyclical unemployment,and Okun's coefficient A structural time series approach

Okun's coefficient is estimated from U.S. quarterly data covering the period 1947:1–1992:2. The cyclical components of unemployment and output are extracted by smoothing using the Kalman filter as applied to Harvey's structural time series model. The estimated Okun's coefficient is around −0.38 irrespective of the whether the model used is static or dynamic and irrespective of the lag length in the dynamic model.     

The nonlinear time series properties of unemployment rates: some further evidence

The time series properties of unemployment rates for Germany, Japan, the UK and the US are re-examined. Evidence of nonlinear structure in the residuals of the most parsimonious linear ARMA models is reported for all countries except Japan. Modelling this nonlinearity using SETAR models suggests strong asymmetry in unemployment dynamics and the presence of a possible limit cycle for the UK. However, residual diagnostics for these models indicate remaining structure. Alternative TAR models conditioned on past growth rates of industrial production yield substantial reductions in residual variance over both linear and SETAR counterparts, iid residuals in all cases other than the US, and threshold values at or very near zero, clearly identifying the asymmetric behaviour of unemployment during expansionary and contractionary phases of the business cycle.     

Export and economic growth: Further time series evidence from less-developed countries

The purpose of this paper is to examine the role of export-growth linkage in India, Pakistan, the Philippines, Malaysia, and Thailand on the basis of time series data from 1973 to 1993. The empirical results indicate that exports have a positive and significant impact on economic growth when a country has achieved some level of economic development. The result also signifies the importance of liberal market policies by pursuing export expansion strategies and by attracting foreign investments.     

Unemployment and growth: some empirical evidence from structural time series models

This study investigates the empirical relationship between unemployment and growth in a number of OECD economies. A structural time series model is used for labour productivity growth to demonstrate that, in most economies, there seems to be a negative correlation between unemployment and labour productivity growth. The results provide little support for the theory that recessions may stimulate productivity growth. The use of a structural time series approach allows an attempt to model the underlying dynamics of productivity growth jointly with the effect of unemployment.     

Job search and unemployment insurance: New evidence from time use data

This paper provides new evidence on job search intensity of the unemployed in the U.S., modeling job search intensity as time allocated to job search activities. The major findings are: 1) the average U.S. unemployed worker devotes about 41 min to job search on weekdays, which is substantially more than their European counterparts; 2) workers who expect to be recalled by their previous employer search substantially less than the average unemployed worker; 3) across the 50 states and D.C., job search is inversely related to the generosity of unemployment benefits, with an elasticity between ?1.6 and ?2.2; 4) job search intensity for those eligible for Unemployment Insurance (UI) increases prior to benefit exhaustion; and 5) time devoted to job search is fairly constant regardless of unemployment duration for those who are ineligible for UI.     

The effect of output growth volatility on output growth: empirical evidence from Turkey

This article assesses the effect of output growth volatility on output growth within a stochastic-volatility-in-mean model with a time-varying framework for an open small economy: Turkey. Until now, the empirical evidence on industrial production mainly reveals that this relationship is negative. However, in further examining different sectors and sub-sectors of industrial production, we find the sign of the relationship changes depending on the sector. Moreover, there is limited evidence that the sign of the relationship changes over time. Thus, the evidence reveals that the nature of the output growth volatility–output growth relationship is not uniform across sectors.     

Externalities of investment and endogenous growth: theory and time series evidence

In the paper we present and estimate an endogenous growth model in which sustained per capita growth is the result of positive externalities of investment in physical capital. In contrast to the usual assumption that investment raises physical capital and, as a byproduct, a stock of knowledge one for one, we suppose a different framework. So, we treat physical and human capital as two distinct variables and underline the importance of the stock of knowledge per physical capital as to the growth performance of countries. Estimation of that model for France, Germany and Japan shows that it is compatible with empirical data. For Great Britain the model performs poor and for the USA it does not produce reasonable outcomes at all. One conclusion we draw from our studies is that an endogenous growth model with positive externalities of investment is of empirical relevance. However, the growth process is also determined by country specific factors such that cross-countries studies should be considered with some care.     

Layoffs,recalls and unemployment duration: evidence from Sweden

The question addressed in this paper is whether the possibility of exit from unemployment to the previous employer affects the duration of unemployment spells in Sweden. The empirical analysis is performed using an employee–employer dataset that includes a number of enterprise characteristics and provides information on individual tenure. The econometric approach employs estimation of a competing risk duration model to distinguish between exits to the previous employer and exits to a new job. The findings suggest that greater tenure raises the risk of transition to the previous employer, while high education levels increase the risk of obtaining a new job. Moreover, the impact of benefit exhaustion is observed only for transitions to new employment.     

Preference shocks from aggregation: time series data evidence

Abstract.  We investigate the impact of preference shocks on the aggregate dynamics of the U.S. economy in the context of a neoclassical growth model derived from aggregation. The aggregation result we use is as follows: if markets are complete and if agents have identical preferences of the addilog type, then the heterogeneous‐agent economy where agents are subject to idiosyncratic productivity shocks behaves as if there was a representative consumer who faces shocks to preferences and technology. We estimate the parameters in the aggregation‐based model from the aggregate time‐series data and compute the numerical solution. We find that the preference shocks play an important role in the aggregate labour‐market fluctuations. JEL classification: C73, D90, E21     

A multivariate time series analysis of energy consumption,real output and pollutant emissions in a developing economy: New evidence from Nepal

Mountain economies will have to play a central role in attaining the global pursuit of green economic growth as crucial bearers of ecosystems goods and services. However, these economies are not adequately represented in the development policy debates in spite of their fundamental importance towards global sustainable development. This study examines the inter relationships between energy consumption, output and carbon emissions in a developing mountainous economy using an augmented Vector Autoregression model. Time-series data over the period 1975–2013 is studied applying a multivariate framework using population and gross fixed capital formation as additional variables for Nepal. Testing for Granger causality between integrated variables based on asymptotic theory reveals a long-run unidirectional Granger causality running from GDP to energy consumption, and a unidirectional Granger causality running from carbon emissions to GDP. We suggest that the government of Nepal can address energy poverty by accelerating the adoption energy conservation policies such as rationing energy consumption and energy efficiency improvements to narrow the energy supply-demand gap. The opportunity to promote the uptake of decentralised off-grid renewable technologies in remote areas and the large scale development of hydropower at the national level also needs to be prioritized. Our results remain robust across different estimators and contributes to an emerging literature on the nexus relationships between energy consumption, income and carbon emissions in mountainous developing economies.     

Trade liberalization and unemployment: Theory and evidence from India

A widely held view among the public is that trade liberalization increases unemployment. Using state and industry-level unemployment and trade protection data from India, we find no evidence of any unemployment increasing effect of trade reforms. In fact, our state-level analysis reveals that urban unemployment declines with trade liberalization in states with flexible labor markets and larger employment shares in net exporter industries. Moreover, our industry-level analysis indicates that workers in industries experiencing greater reductions in trade protection were less likely to become unemployed, especially in net export industries. Our results can be explained within a theoretical framework incorporating trade and search-generated unemployment and some institutional features of the Indian economy.     

Inflation and interest rates: Some time series evidence from 6 OECD countries

This study examines the time series properties of inflation and interest rates variables using monthly data from 6 OECD countries covering the period 1972.1–1984.8. The analysis focuses on the hypotheses that real rates of interest are constant over time and that movements in nomial rates can be explained by inflation only. These hypotheses are tested by applying both formal and informal test procedures and by carrying out tests both in the time and in the frequency domain. On the whole, the empirical evidence is at variance with these hypotheses. Only in the case of the United States do the results lend some support for the existence of the Fisher relationship.     

Growth: some combined cross- sectional and time series evidence from OECD countries

The uncovered interest rate parity hypothesis and three variants of the monetary approach to exchange rate determination are assessed under a vector autoregression representation of the available information variables, using monthly data on six major US dollar exchange rates over the period 1978–90. A large information set is used, and the time series properties of the information variables are taken into account. The cross-equation restrictions imposed on the estimated parameters are tested statistically and the economic significance of the models is evaluated independently on the basis of appropriate volatility tests. A weak test for exchange rate bubbles, based on a decomposition of market noise, is proposed.     

Monetary,fiscal, and structural drivers of inflation in Ethiopia: new empirical evidence from time series analysis

This study empirically investigates the drivers of inflation in Ethiopia using monthly data over the period July 1998 to September 2020. It explores short-run and long-run effects of domestic and external determinants of inflation—including demand-side, supply-side, and structural factors—using the cointegration and vector error-correction methodology. Four measures of inflation are considered: cereals, food, nonfood, and all-items Consummer Price Index (CPI) inflation. A key contribution to the existing literature is the investigation of the role of the fiscal sector in modeling inflation, a topic that has been neglected in the existing studies on inflation in Ethiopia. The empirical results show that disequilibria in the monetary sector, grains sector, and food markets have long-run effects on inflation. In the short run, inflation is driven by structural factors (notably, cereal output gaps and imported inflation) as well as demand-side factors (notably, money growth and public sector borrowing). The results hold when analysis is limited to the high growth period from 2005 onward, following the end of the International Monetary Fund (IMF) program in the country. The evidence provides valuable insights in the context of ongoing macroeconomic policy reforms in Ethiopia.     

Structural policies and growth: Time series evidence from a natural experiment

Documenting the long term impact of structural policies on economic performance has generated tremendous interest in the development literature. In contrast, contemporary effects of structural policies are difficult to establish. Structural policies seldom change sufficiently in the short run, and accepted instruments to control for endogeneity in cross sections are inappropriate for time series analysis. In this paper we utilize an eleven year panel of 26 transition countries to identify short term effects of structural policies that are large and significant. A ten percent change in the quality of structural policies (or the Rule of Law) towards OECD standards is shown to raise annual growth by about 2.5%. To control for endogeneity, we develop an instrument using the hierarchy of institutions hypothesis and find that it holds a robust explanatory power. We also document that early reformers reap the greatest benefits, but that it is never too late to begin structural policy reforms.     

Sectoral shifts, diversification and regional unemployment: evidence from local labour systems in Italy

Using Local Labour Systems (LLSs) data, this work aims at assessing the effects of sectoral shifts and industry specialization patterns on regional unemployment in Italy over the years 2004–2008. Italy represents an interesting case study because of the high degree of spatial heterogeneity in local labour market performance and the well-known North–South divide. Furthermore, the presence of strongly specialized LLSs (Industrial Districts, IDs) allows us to test whether IDs perform better than highly diversified urban areas thanks to the effect of agglomeration economies, or viceversa. Building on a semiparametric spatial auto-regressive framework, our empirical investigation documents that sectoral shifts and the degree of specialization exert a negative role on unemployment dynamics. By contrast, highly diversified areas turn out to be characterized by better labour market performances.     

Estimating persistence in Canadian unemployment: evidence from a Bayesian ARFIMA

The degree of persistence in aggregate Canadian unemployment is estimated within a Bayesian ARFIMA class of models. The results conclude that unemployment exhibits persistence in the short and intermediate run. The evidence of persistence is stronger than previously reported by Koustas and Veloce (1996 Koustas, Z and Veloce, W. 1996. Unemployment hysteresis in Canada: an approach based on long-memory time series models. Applied Economics, 28: 823–31. [Taylor &; Francis Online], [Web of Science ®] , [Google Scholar]). This persistence cast a vital implication regarding disinflation policies, Based on the unemployment rate, these policies will prove very costly in terms of lost output and – if implemented – they considerably lengthen recessions.