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Sources of German Unemployment: Evidence from a Structural VAR Model

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  • Tobias Linzert

    ()
    (Universität Frankfurt am Main)

Abstract

This 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.

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Bibliographic Info

Article 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)
Pages: 317-336

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Handle: RePEc:jns:jbstat:v:224:y:2004:i:3:p:317-336

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Keywords: Unemployment; Structural VAR; cointegration;

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References

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  1. 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.
  2. 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.
  3. Scott, Alasdair, 2003. "APPLIED MACROECONOMETRICS Carlo A. Favero Oxford University Press, 2001," Macroeconomic Dynamics, Cambridge University Press, vol. 7(02), pages 313-315, April.
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  13. repec:cup:macdyn:v:2:y:1998:i:4:p:472-91 is not listed on IDEAS
  14. 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.
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  18. Kai Carstensen & Gerd Hansen, 2000. "Cointegration and common trends on the West German labour market," Empirical Economics, Springer, vol. 25(3), pages 475-493.
  19. Hansen, Gerd, 2000. "The German labour market and the unification shock," Economic Modelling, Elsevier, vol. 17(3), pages 439-454, August.
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  21. Andersen, Torben M. & Hylleberg, Svend, 1998. "Wage Adjustment And Employment Persistency," Macroeconomic Dynamics, Cambridge University Press, vol. 2(04), pages 472-491, December.
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Cited by:
  1. 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.

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