共查询到20条相似文献,搜索用时 15 毫秒
1.
We apply a series of bounded unit root tests to revisit the unemployment persistence in eight European Union (EU) countries. We find strong evidence in favour of the hysteresis hypothesis in all the cases. This result can be explained by a reduced labour mobility, a decreasing wage inflation and a high uncertainty regarding the future level of unemployment in the EU countries. 相似文献
2.
3.
In this paper, we generalize the KPSS-type test to allow for two structural breaks. Seven models have been defined depending
on the way that structural breaks affect the time series behaviour. The paper derives the limit distribution of the test under
both the null and the alternative hypotheses and conducts a set of simulation experiments to analyse the performance in finite
samples. Finally, we illustrate the application of the statistics through the analysis of real GDP and real per capita GDP
for 22 developed countries.
相似文献
4.
Knut Røed 《Empirical Economics》1996,21(4):589-600
This paper investigates empirically the presence ofunemployment hysteresis in 16 OECD countries, applying aggregate quarterly unemployment rates covering the past 25 years. Alternative test procedures are discussed and employed, posing both stationarity and hysteresis as null hypotheses. The results suggest that hysteresis effects are highly significant in Australia and Canada, and to a lesser extent also significant in most European countries and in Japan. Only in the USA, the presence of unemployment hysteresis is strongly and consistently rejected.Without attributing to them opinions or errors in the paper, I wish to thank Steinar Strøm, Ragnar Nymoen, Arvid Raknerud, Anders Rygh Swensen, Jeremy Smith and two referees for helpful comments. 相似文献
5.
This paper proposes a new testing strategy for unemployment hysteresis as the joint restriction of a unit-root in the unemployment
rate and no feedback effect of unemployment in the Phillips wage equation. The associated test statistics are derived when
this joint restriction is imposed and when a sequential two steps testing strategy is adopted. An empirical application leads
to reject the null hypothesis of wage hysteresis for most of our OECD countries. Evidence against hysteresis is reinforced
when accounting for wage adjustments in the bivariate approach.
First version received: July 1999/Final version received: May 2002
RID="*"
ID="*" We thank R. Boyer, F. Collard, F. Karamé, F. Langot, F. Mihoubi, W. Pohlmeier and two anonymous referees for fruitful
comments. This paper has also benefited from discussions at the T2M conference (Montréal, may 1999) and ESEM99 (Santiago,
august 1999). The traditional disclaimer applies. 相似文献
6.
7.
Jack Fosten 《Economic Modelling》2011,28(3):948-954
Previous studies use a variety of increasingly advanced unit root tests to determine whether Blanchard and Summers (1986) hysteresis theory of unemployment or the classical ‘natural’ rate theory of Friedman (1968) and Phelps (1967, 1968) is most relevant for a given country. However these tests all specify a unit root under the null hypothesis against a stationary alternative, such as in the paper by Lee and Chang (2008), making the two theories of unemployment mutually exclusive over the sample period. This paper moves away from this dichotomy by allowing for switches between hysteresis and the natural rate theory using the recently developed test of Leybourne, Kim and Taylor (2007). We find that in countries like the United Kingdom, the natural rate theory is detected in the post-World War Two period of stabilisation: the time leading up to the seminal works of Friedman and Phelps. Hysteresis is found over the First World War and Great Depression periods, and in the period from the 1970s; a time characterised by rising trade union power. We also compute numerical measures of persistence using grid-bootstrap estimates of the autoregressive parameter, following Hansen (1999). 相似文献
8.
José Ramón Cancelo 《International Advances in Economic Research》2007,13(3):334-346
This paper investigates to what extent the observed nonlinearities in the unemployment rates of six major developed economies
are the response to cyclical asymmetries. Two classes of models are compared: strict smooth transition autoregressions and
models where the transition variable is GDP growth, which is considered a more direct indicator of the business cycle. The
empirical evidence points out that nonlinearities in unemployment rates are induced by cyclical asymmetries. It is also found
that in most countries the unemployment rate looks stationary and reverts to a long-run equilibrium rate in periods of normal
growth, while in extreme cyclical situations it tends to become nonstationary as if each extreme cyclical episode had its
own path of equilibrium.
相似文献
9.
Conventional unit root tests have mostly failed to validate the PPP. Quantile-based unit root tests by previous research have provided some support for the PPP. In this article, we take an additional step and incorporate sharp shifts and smooth breaks into the quantile-based unit root test and re-examine the PPP in each of the 34 OECD countries over the period 1994:01–2016:03. We find support for the PPP in 18 countries of Austria, Chile, Estonia, Finland, France, Germany, Italy, Korea, Mexico, Netherlands, New Zealand, Poland, Portugal, Slovenia, Sweden, Switzerland, Turkey and the United Kingdom. 相似文献
10.
Unemployment during and after the Great Recession has been persistently high. One concern is that the housing bust reduced geographical mobility and prevented workers from moving for jobs. We characterize flows out of unemployment that are related to geographical mobility to construct an upper bound on the effect of mobility on unemployment between 2007 and 2012. The effect of geographical mobility is always small: Using pre-recession mobility rates, decreased mobility can account for only an 11 basis points increase in the unemployment rate over the period. Using dynamics of renter geographical mobility in this period to calculate homeowner counterfactual mobility, delivers similar results. Using the highest mobility rate observed in the data, reduced mobility accounts for only a 33 basis points increase in the unemployment rate. 相似文献
11.
This paper analyzes unemployment rates in the euro area (EA) countries to test for EA-related benefits and economic integration of the EA in the form of lower unemployment rates and unemployment rates convergence. We employ recently developed unit root tests with structural breaks and non-normal errors to analyze the persistence, test the stochastic convergence and locate structural break(s) in EA unemployment rates from 1995q1 to 2016q2. Our results imply a certain degree of unemployment hysteresis in the EA. Even though the results support the stochastic convergence of the majority of EA countries, we find that EA membership is not a sufficient condition for stochastic convergence. Nevertheless, EA-related breaks are followed by the periods of convergence to the EA11 average. Crisis-related breaks are followed by the periods of divergence. Although providing initial benefits, EA is not functioning as an optimal currency area. 相似文献
12.
Luis A. Gil-Alana 《Empirical Economics》2003,28(1):101-113
Tests of unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article
to the Nelson and Plosser's (1982) series. The tests can be expressed in a way allowing for structural breaks under both the
null and the alternative hypotheses. When applying the tests to the same dataset as in Perron (1989), we observe that our
results might be consistent with those in Perron (1989) when testing the nulls of trend-stationarity or a unit-root. However,
we also observe that fractionally integrated hypotheses may be plausible alternatives in the context of structural breaks
at a known period of time.
Final version received: August 2000/Final version accepted: August 2001
RID="*"
ID="*" The author gratefully acknowledges the financial support from the European TMR grant No. ERBFMRX-CT-98-0213. Comments
of two anonymous referees are also acknowledged. 相似文献
13.
Javid Taheri 《Applied economics》2013,45(8):1051-1057
This paper begins with a summary statement of a few relevant facts about the worsening state of unemployment since the mid-1970s in the OECD countries. A joint statistical test of the hypotheses of the natural rate, hysteresis, and the persistence is conducted by pooling annual data (1963-93) from up to 16 OECD countries. The results provide strong evidence in support of the persistence hypothesis and the non-linearity of the Phillips curve while concurrently rejecting the other two alternative explanations. 相似文献
14.
15.
James P. Dow 《Applied economics letters》2018,25(4):254-257
The US Survey of Consumer Finances provides a rich but underutilized source of data measuring attitudes towards credit. Using this data, this article finds there a great degree of heterogeneity in attitudes; however, the distribution of these attitudes has shifted only moderately after the financial crisis, with households on average only becoming a bit more conservative. There is evidence that age, race and gender affect attitudes towards credit, most noticeably when attitudes are broken down by specific credit use rather than credit in general. 相似文献
16.
Using annual data from 1971 to 2014, we examine stochastic conditional convergence in per capita energy consumption for 26 low income, lower middle-income and upper-middle-income African countries. To do so, we use panel unit root tests that allow for cross-sectional dependence and structural breaks as well as the recently developed univariate Residual Augmented Least Squares-Lagrange multiplier (RALS-LM) unit root test with structural breaks. Although for most countries our evidence suggests stochastic conditional convergence, we find divergence for four countries including DR Congo, Senegal, Egypt and Botswana. Consistent with the neoclassical growth models we also examine the catch-up rate between energy consumption levels of African economies and that one of China and investigate its convergence properties. As African economies continue to grow, regional energy consumption disparity narrows, African energy consumption levels will catch up to the ones in China. 相似文献
17.
In this article, we use Structural VAR analysis to disentangle credit demand and supply shocks and their effect on real economic activity in Italy during the 2008 to 2014 crisis period. The three endogenous variables considered are the loan interest rate, the loans growth rate and the employment to population ratio. The data are observed at annual frequency for each of 103 Italian provinces. The empirical evidence suggests that the variance of the shocks varies across four Italian macro-regions: North, Centre, South and Islands, and hece heteroscedasticity is used to identify (ex ante) the structural shocks. Sign restrictions are used to interpret shocks ex post. The empirical findings suggest a prominent role of credit supply shock in shaping real activity dynamics and also that credit crunch hits the North of Italy less than the remaining macro-regions, especially the South of Italy. 相似文献
18.
This article analyses the time series properties of the fiscal balance in the 10 EU countries from Central and Eastern Europe. The persistence of the fiscal balance is analysed by means of unit root tests that account for possible nonlinearities and structural changes. The linear and nonlinear unit root tests find only mild evidence in favour of the stationarity hypothesis, with asymmetric effects present in a few cases. After controlling for structural changes in the Data Generation Processes (DGPs), the results point to stationarity of the series. Thus, in spite of relatively steady headline figures, the budget balance processes in the EU countries from Central and Eastern Europe exhibit substantial instability. 相似文献
19.
This paper quantifies the impact of three key external shocks – external demand, interest rate, and uncertainty shocks – on emerging market economies (EMEs). We find that external shocks have a sizeable impact on macroeconomic fluctuations in EMEs and that a considerable fraction of this impact is through the domestic stock market. A decrease in external demand and an increase in external interest rate and uncertainty lead to a higher unemployment rate, lower stock market return, and a depreciation of the domestic currency. The EMEs' monetary policy actively responds to external shocks and dampens their impact on domestic activity. 相似文献
20.
Hongyi Li 《Empirical Economics》1995,20(3):501-518
The present paper applies to the Nelson-Plosser data set the recursive, rolling, and sequential tests proposed by Banerjee, Lumsdaine and Stock (1992) for unit roots in the presence of mean or trend breaks. Unlike Perron's method, these three types of test endogenize the break point in the mean or trend and thus are more appealing in empirical studies. The (reverse) recursive test indicates rejection of the unit root null in industrial production and unemployment rate. The sequential test indicates that nominal GNP and common stock prices are stationary with a break in the mean.Helpful comments from G. S. Maddala and two anonymous referees are greatly acknowledged. 相似文献