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NAIRU Evolution in the Spanish Economy: a Kalman Filter Estimation Approach/Evolución de la NAIRU en la economía española: una estimación mediante el filtro de Kalman

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Author Info

  • DURÁN, CHRISTIAN

    (Departament d'Economia, Universitat Rovira i Virgili Institut de Recerca en Economia Aplicada, Universitat de Barcelona)

  • RAMOS, RAÚL

    (Grup d’Anàlisi Quantitativa Regional – Institut de Recerca en Economia Aplicada Universitat de Barcelona)

Abstract

The non-accelerating inflation rate of unemployment (NAIRU) describes the rate of unemployment at which there is equilibrium between workers’ wage growth aspirations and the objective of firms of maximizing profits. In this article, we develop a theoretical model with the aim of quantifying the NAIRU. This aspect is particularly relevant, both from a theoretical and empirical approach, as equilibrium unemployment rate has increased in most European countries. However, as this rate is not directly observable, we suggest the use of econometric methods that involves the use of the Kalman filter. To illustrate the potentiality of this approach and the role of certain variables related to wage rents distribution, we have analyzed the evolution of the NAIRU in Spain for the period 1964-2004. La tasa de paro de inflación estable (NAIRU) describe aquella tasa de desempleo que se alcanza en el equilibrio entre las reivindicaciones salariales de los trabajadores y los objetivos de beneficio de las empresas. En este trabajo se desarrolla un enfoque teórico general que permite determinar el nivel de la NAIRU. Esta cuestión adquiere una especial trascendencia teórica y empírica si se tiene en cuenta que esta tasa de paro de equilibrio ha aumentado en la mayoría de países europeos. Sin embargo, esta tasa de paro de equilibrio no puede observarse directamente por lo que se recurre a su estimación econométrica a partir del filtro de Kalman. Para ilustrar la potencialidad del modelo desarrollado y la influencia de la determinadas variables relacionadas con la distribución de las rentas salariales, se analiza cual ha sido la evolución de la NAIRU para la economía española en el periodo 1964–2004.

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Bibliographic Info

Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 24 (2006)
Issue (Month): (Agosto)
Pages: 647 (23 páginas)

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Handle: RePEc:lrk:eeaart:24_2_22

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Related research

Keywords: Equilibrium Unemployment; NAIRU; Phillips Curve; Kalman Filter/Desempleo de equilibrio; NAIRU; Curva de Phillips; Filtro de Kalman.;

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References

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  1. Debelle, Guy & Vickery, James, 1998. "Is the Phillips Curve a Curve? Some Evidence and Implications for Australia," The Economic Record, The Economic Society of Australia, vol. 74(227), pages 384-98, December.
  2. Olivier Blanchard & Lawrence F. Katz, 1996. "What We Know and Do Not Know About the Natural Rate of Unemployment," NBER Working Papers 5822, National Bureau of Economic Research, Inc.
  3. Robert J. Gordon, 1998. "Foundations of the Goldilocks Economy: Supply Shocks and the Time-Varying NAIRU," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 29(2), pages 297-346.
  4. Fabiani, Silvia & Mestre, Ricardo, 2000. "Alternative measures of the NAIRU in the euro area: estimates and assessment," Working Paper Series 0017, European Central Bank.
  5. Douglas Staiger & James H. Stock & Mark W. Watson, 1996. "How Precise are Estimates of the Natural Rate of Unemployment?," NBER Working Papers 5477, National Bureau of Economic Research, Inc.
  6. Mikael Apel & Per Jansson, 1999. "System estimates of potential output and the NAIRU," Empirical Economics, Springer, vol. 24(3), pages 373-388.
  7. Gruen, David & Pagan, Adrian & Thompson, Christopher, 1999. "The Phillips curve in Australia," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 223-258, October.
  8. Jennifer V Greenslade & Richard G Pierse & Jumana Saleheen, 2003. "A Kalman filter approach to estimating the UK NAIRU," Bank of England working papers 179, Bank of England.
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