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Phillips curves and unemployment dynamics : a critique and a holistic perspective

Karanassou, Marika (contributor); Sala, Hector (contributor) - 2006

"The conventional wisdom that inflation and unemployment are unrelated in the long-run implies that these phenomena can be analysed by separate branches of economics. The macro literature tries to explain inflation dynamics and estimates the NAIRU. The labour macro literature tries to explain...

Persistent link: https://www.econbiz.de/10003359297

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram (contributor); … - 2007

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

Persistent link: https://www.econbiz.de/10003586562

The cyclicality of labor market flows : a multiple-shock approach

Hairault, Jean-Olivier; Zhutova, Anastasia - 2014

In this paper, we aim to provide a comprehensive view of the unemployment dynamics generated by different structural shocks. We show that the relative contribution of the job finding and separation rates to the unemployment dynamics depends on a type of structural shocks. Identified using a sign...

Persistent link: https://www.econbiz.de/10010417964

Aggregation in large dynamic panels

Pesaran, M. Hashem; Chudik, Alexander - 2011

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

Persistent link: https://www.econbiz.de/10009130496

Uncertainty shocks and unemployment dynamics

Kandoussi, Malak; Langot, François - 2020

Recent events suggest that uncertainty changes play a major role in U.S. labor market fluctuations. This study analyzes the impact of uncertainty shocks on unemployment dynamics. Using a vector autoregression approach, we show that uncertainty shocks measured by stock market volatility have a...

Persistent link: https://www.econbiz.de/10012243477

Counteracting unemployment in crises : non-linear effects of short-time work policy

Gehrke, Britta; Hochmuth, Brigitte - 2018

Short-time work is a labor market policy that subsidizes working time reductions among firms in financial difficulty to prevent layoffs. Many OECD countries have used this policy in the Great Recession. This paper shows that the effects of short-time work are strongly time dependent and...

Persistent link: https://www.econbiz.de/10011845664

Infinite dimensional VARs and factor models

Chudik, Alexander (contributor); … - 2007

This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...

Persistent link: https://www.econbiz.de/10003646695

Panels with nonstationary multifactor error structures

Kapetanios, George (contributor); … - 2006

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … cointegration properties of the unobserved factors. This finding is further supported for small samples via an extensive Monte Carlo …

Persistent link: https://www.econbiz.de/10003355571

International migration with heterogeneous agents : theory and evidence

Brücker, Herbert (contributor); … - 2006

investigation of the cointegration relationships of German migration stocks and flows since 1967. We find that (i) panel-unit root … migration stocks and the explanatory variables are all I(1) variables, and (ii) the hypothesis of cointegration cannot be … rejected for the stock model. -- international migration ; temporary migration ; panel cointegration …

Persistent link: https://www.econbiz.de/10003376850

On econometric analysis of structural systems with permanent and transitory shocks and exogenous variables

Pagan, Adrian R. (contributor); … - 2007

-run restrictions than are needed because of a failure to fully utilize the cointegration information. …

Persistent link: https://www.econbiz.de/10003536155

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