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Measuring unemployment composition over the cycle

Barbarino, Alessandro; Pavan, Ronni - Society for Economic Dynamics - SED - 2006

This paper proposes a strategy to measure, in a unified setting, how the job finding probability and the job separation probability conditional on observable and unobservable individual characteristics varies over the business cycle. Recent papers by Shimer and Hall point out how new...

Persistent link: https://www.econbiz.de/10005069220

Payroll Taxes, Social Insurance and Business Cycles

Burda, Michael C; Weder, Mark - C.E.P.R. Discussion Papers - 2010

frictions and unemployment insurance, when the latter is only imperfectly related to search effort. A balanced social insurance … volatility and persistence of vacancies and unemployment. …

Persistent link: https://www.econbiz.de/10008611008

Structural and Cyclical Forces in the Labor Market During the Great Recession: Cross-Country Evidence

Sala, Luca; Söderström, Ulf; Trigari, Antonella - C.E.P.R. Discussion Papers - 2012

We use an estimated monetary business cycle model with search and matching frictions in the labor market and nominal … movements in GDP, unemployment, vacancies, and wages in the period from 2007 until 2011. We show that contractionary financial … factors and reduced efficiency in labor market matching were largely responsible for the experience in the U.S. Financial …

Persistent link: https://www.econbiz.de/10011083316

The Output Gap, the Labor Wedge, and the Dynamic Behavior of Hours

Sala, Luca; Söderström, Ulf; Trigari, Antonella - C.E.P.R. Discussion Papers - 2010

We use a standard quantitative business cycle model with nominal price and wage rigidities to estimate two measures of economic inefficiency in recent U.S. data: the output gap---the gap between the actual and efficient levels of output---and the labor wedge---the wedge between households'...

Persistent link: https://www.econbiz.de/10008642884

Organizational capital and employment fluctuations

Rens, Thijs van - Department of Economics and Business, Universitat … - 2004

margin of labor adjustment, in combination with adjustment costs along the extensive margin (search frictions, firing costs …

Persistent link: https://www.econbiz.de/10005707967

Do institutions and culture matter for business cycles?

Altug, Sumru; Canova, Fabio - Department of Economics and Business, Universitat … - 2012

We examine the relationship between institutions, culture and cyclical fluctuations for a sample of 45 European, Middle Eastern and North African countries. Better governance is associated with shorter and less severe contractions and milder expansions. Certain cultural traits, such as lack of...

Persistent link: https://www.econbiz.de/10010849590

Finite sample performance of small versus large scale dynamic factor models

Alvarez, Rocio; Camacho, Maximo; Perez-Quiros, Gabriel - Banco de España - 2012

We examine the finite-sample performance of small versus large scale dynamic factor models. Our Monte Carlo analysis reveals that small scale factor models out-perform large scale models in factor estimation and forecasting for high levels of cross-correlation across the idiosyncratic errors of...

Persistent link: https://www.econbiz.de/10010862254

Extracting non-linear signals from several economic indicators

Camacho, Maximo; Perez-Quiros, Gabriel; Poncela, Pilar - Banco de España - 2012

We develop a twofold analysis of how the information provided by several economic indicators can be used in Markov-switching dynamic factor models to identify the business cycle turning points. First, we compare the performance of a fully non-linear multivariate specification (one-step approach)...

Persistent link: https://www.econbiz.de/10010862279

Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter

Maravall, Agustín; Río, Ana del - Banco de España - 2007

Maravall and del Río (2001), analized the time aggregation properties of the Hodrick-Prescott (HP) filter, which decomposes a time series into trend and cycle, for the case of annual, quarterly, and monthly data, and showed that aggregation of the disaggregate component cannot be obtained as...

Persistent link: https://www.econbiz.de/10005022260

Multiple filtering devices for the estimation of cyclical DSGE models

Canova, Fabio; Ferroni, Filippo - Department of Economics and Business, Universitat … - 2009

We propose a method to estimate time invariant cyclical DSGE models using the information provided by a variety of filters. We treat data filtered with alternative procedures as contaminated proxies of the relevant model-based quantities and estimate structural and non-structural parameters...

Persistent link: https://www.econbiz.de/10005704967