Markov switching in disaggregate unemployment rates
AbstractWe develop a dynamic factor model with Markov switching to examine secular and business cycle fluctuations in the U.S. unemployment rates. We extract the common dynamics amongst unemployment rates disaggregated for 7 age groups. The framework allows analysis of the contribution of demographic factors to secular changes in unemployment rates. In addition, it allows examination of the separate contribution of changes due to asymmetric business cycle fluctuations. We find strong evidence in favor of the common factor and of the switching between high and low unemployment rate regimes. We also find that demographic adjustments can account for a great deal of secular changes in the unemployment rates, particularly the abrupt increase in the 1970s and 1980s and the subsequent decrease in the last 18 years.
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 27 (2002)
Issue (Month): 2 ()
Note: Received: December 2000/Final Version Received: June 2001
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Other versions of this item:
- Marcelle Chauvet & Chinhui Juhn & Simon Potter, 2001. "Markov switching in disaggregate unemployment rates," Staff Reports 132, Federal Reserve Bank of New York.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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