Sources of German Unemployment: Evidence from a Structural VAR Model
AbstractThis paper analyzes the dynamic effects of different macroeconomic shocks on unemployment in Germany. In a first step, a cointegration analysis of productivity, prices, real wages, employment, and the unemployment rate reveals two long run relationships, interpreted as a labor demand and a wage setting scheme. Secondly, a structural VAR model is identified using the restrictions suggested by a small macroeconomic model. The impulse response analysis and the forecast error variance decomposition display that price, demand, and labor supply shocks affect unemployment significantly in the short/medium run. Interestingly, however, wage and technology shocks do not seem to play a dominant role.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.
Volume (Year): 224 (2004)
Issue (Month): 3 (May)
Contact details of provider:
Postal: Licher Straße 74, 35394 Gießen
Phone: +49 (0)641 99 22 001
Fax: +49 (0)641 99 22 009
Web page: http://wiwi.uni-giessen.de/home/oekonometrie/Jahrbuecher/
More information through EDIRC
Unemployment; Structural VAR; cointegration;
Other versions of this item:
- Linzert, Tobias, 2001. "Sources of German unemployment: evidence from a structural VAR model," ZEW Discussion Papers 01-41, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- J60 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - General
- E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bean, Charles R, 1994.
"European Unemployment: A Survey,"
Journal of Economic Literature,
American Economic Association, vol. 32(2), pages 573-619, June.
- Ben S. Bernanke, 1986.
"Alternative Explanations of the Money-Income Correlation,"
NBER Working Papers
1842, National Bureau of Economic Research, Inc.
- Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
- Olivier J. Blanchard & Mark W. Watson, 1986.
"Are Business Cycles All Alike?,"
in: The American Business Cycle: Continuity and Change, pages 123-180
National Bureau of Economic Research, Inc.
- Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
- Kai Carstensen & Gerd Hansen, 2000.
"Cointegration and common trends on the West German labour market,"
Springer, vol. 25(3), pages 475-493.
- Carstensen, Kai & Hansen, Gerd, 2000. "Cointegration and common trends on the West German labour market," Munich Reprints in Economics 19947, University of Munich, Department of Economics.
- Dennis W. Carlton, 1986.
"The Rigidity of Prices,"
NBER Working Papers
1813, National Bureau of Economic Research, Inc.
- Doornik, Jurgen A & Hendry, David F & Nielsen, Bent, 1998.
" Inference in Cointegrating Models: UK M1 Revisited,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 12(5), pages 533-72, December.
- Jurgen A. Doornik & David F. Hendry & Bent Nielsen, 1998. "Inference in Cointegrating Models: UK M1 Revisited," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 533-572, December.
- Juan J. Dolado & Juan F. Jimeno, .
"The causes of Spanish unemployment: A structural VAR apporach,"
- Dolado, Juan J. & Jimeno, Juan F., 1997. "The causes of Spanish unemployment: A structural VAR approach," European Economic Review, Elsevier, vol. 41(7), pages 1281-1307, July.
- Saikkonen, Pentti & Lütkepohl, Helmut, 2001.
"Testing for the cointegrating rank of a VAR process with structural shifts,"
SFB 373 Discussion Papers
1998,82, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Saikkonen, Pentti & Lutkepohl, Helmut, 2000. "Testing for the Cointegrating Rank of a VAR Process with Structural Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 451-64, October.
- Olivier Blanchard & Justin Wolfers, 1999.
"The Role of Shocks and Institutions in the Rise of European Unemployment: The Aggregate Evidence,"
NBER Working Papers
7282, National Bureau of Economic Research, Inc.
- Blanchard, Olivier & Wolfers, Justin, 2000. "The Role of Shocks and Institutions in the Rise of European Unemployment: The Aggregate Evidence," Economic Journal, Royal Economic Society, vol. 110(462), pages C1-33, March.
- Johansen, Soren & Juselius, Katarina, 1994.
"Identification of the long-run and the short-run structure an application to the ISLM model,"
Journal of Econometrics,
Elsevier, vol. 63(1), pages 7-36, July.
- Søren Johansen & Katarina Juselius, 1992. "Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model," Discussion Papers 92-04, University of Copenhagen. Department of Economics.
- Alan Manning, 1992.
"Wage Bargaining and the Phillips Curve: The Identification and Specification of Aggregate Wage Equations,"
CEP Discussion Papers
dp0062, Centre for Economic Performance, LSE.
- Manning, Alan, 1993. "Wage Bargaining and the Phillips Curve: The Identification and Specification of Aggregate Wage Equations," Economic Journal, Royal Economic Society, vol. 103(416), pages 98-118, January.
- repec:cup:macdyn:v:2:y:1998:i:4:p:472-91 is not listed on IDEAS
- Andersen, Torben M. & Hylleberg, Svend, 1998. "Wage Adjustment And Employment Persistency," Macroeconomic Dynamics, Cambridge University Press, vol. 2(04), pages 472-491, December.
- Lindbeck, Assar, 1992. "Macroeconomic theory and the labor market," European Economic Review, Elsevier, vol. 36(2-3), pages 209-235, April.
- Jennifer Hunt, 1992.
"The Effect of Unemployment Compensation on Unemployment Duration in Germany,"
Discussion Papers of DIW Berlin
50, DIW Berlin, German Institute for Economic Research.
- Hunt, Jennifer, 1995. "The Effect of Unemployment Compensation on Unemployment Duration in Germany," Journal of Labor Economics, University of Chicago Press, vol. 13(1), pages 88-120, January.
- Phillips, Peter C. B., 1998.
"Impulse response and forecast error variance asymptotics in nonstationary VARs,"
Journal of Econometrics,
Elsevier, vol. 83(1-2), pages 21-56.
- Peter C.B. Phillips, 1995. "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's," Cowles Foundation Discussion Papers 1102, Cowles Foundation for Research in Economics, Yale University.
- Scott, Alasdair, 2003. "APPLIED MACROECONOMETRICS Carlo A. Favero Oxford University Press, 2001," Macroeconomic Dynamics, Cambridge University Press, vol. 7(02), pages 313-315, April.
- repec:wop:humbsf:1998-80 is not listed on IDEAS
- Giannini, Carlo & Lanzarotti, Antonio & Seghelini, Mario, 1995. "A traditional interpretation of macroeconomic fluctuations: The case of Italy," European Journal of Political Economy, Elsevier, vol. 11(1), pages 131-155, March.
- Hansen, Gerd, 2000. "The German labour market and the unification shock," Economic Modelling, Elsevier, vol. 17(3), pages 439-454, August.
- Blanchard, Olivier Jean, 1989. "A Traditional Interpretation of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 79(5), pages 1146-64, December.
- Arntz, Melanie & Gregory, Terry & Lehmer, Florian, 2012.
"Unequal Pay or Unequal Employment? What Drives the Skill-Composition of Labor Flows in Germany?,"
Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century
62309, Verein für Socialpolitik / German Economic Association.
- Arntz, Melanie & Gregory, Terry & Lehmer, Florian, 2011. "Unequal pay or unequal employment? What drives the skill-composition of labor flows in Germany?," ZEW Discussion Papers 11-074, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Winker).
If references are entirely missing, you can add them using this form.