Exchange Rate Uncertainty and the German Labour Market: A Cointegration Application of the ARDL Approach
AbstractThis paper empirically assesses the impact of OECD exchange rate uncertainty on German employment claimed by real option theory. Since orders of integration of regressors are not exactly known, a new bounds procedure is applied to test for cointegrating relationships among macroeconomic labour market variables and uncertainty. This procedure is efficient for small samples and capable of dealing with the controversial issue of exogeneity of uncertainty. Additionally, ARDL and error-correction models are estimated for employment and uncertainty as a forcing variable. Based on consistent estimates and standard normal asymptotic theory, negative short- and long-run impacts of uncertainty cannot be rejected.
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Bibliographic InfoArticle provided by Cyprus Economic Society and University of Cyprus in its journal Ekonomia.
Volume (Year): 5 (2001)
Issue (Month): 1 (Summer)
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E24 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
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