The paper investigates the predictive power of a new survey implemented by the Federal Employment Agency (FEA) for forecasting German unemployment in the short run. Every month, the CEOs of the FEA’s regional agencies are asked about their expectations of future labor market developments. We...

Wir konstruieren ein neues Modell unbeobachteter Komponenten mit Markov-Switching zur Analyse von Hysterese-Effekten, also der Verfestigung ursprünglich zyklischer Fluktuationen. Das Modell kombiniert die Bestandteile einer Trend-Zyklus Zerlegung, der Identifikation von gegenseitigen...

The strong and sustained labour market upswing in Germany is widely recognized. In a developing literature, various relevant studies highlight different specific reasons. The underlying study, instead, simultaneously considers a broad set of factors in a unified methodological framework and...

Bislang liegen kaum Untersuchungen zum Einfluss von Langzeit- und Kurzzeitarbeitslosigkeit auf die Erwerbsbeteiligung vor. Deshalb haben wir mit Daten für Deutschland, getrennt nach Alter und Geschlecht, die Arbeitslosenrate nach Kurz- und Langzeitarbeitslosigkeit getrennt und untersucht,...

We estimate a nonlinear VAR to quantify the impact of economic policy uncertainty shocks originating in the US on the Canadian unemployment rate in booms and busts. We find strong evidence in favor of asymmetric spillover effects. Unemployment in Canada is shown to react to uncertainty shocks in...

We model U.S. post-WWII monthly data with a Smooth Transition VAR model and study the effects of an unanticipated increase in economic policy uncertainty on unemployment in recessions and expansions. We find the response of unemployment to be statistically and economically larger in recessions....

In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several variables, this model considers interaction in the...

The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that...

The present paper sheds further light on a well-known (alleged) violation of the expectations hypothesis of the term structure (EHT) - the frequent finding of unit roots in interest rate spreads. We show that the EHT implies (i) that the nonstationarity stems from the holding premium, which is...

Using German data this study applies an unobserved-components approach to disentangle the unemployment rate into a (stochastic) trend and a cyclical part and to estimate the influence of these components on labor participation. The persistent trend component of unemployment, which triggers...