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Real wages and the business cycle in Germany

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  • Martyna Marczak

    ()

  • Thomas Beissinger

    ()

Abstract

This article establishes stylized facts about the cyclicality of real consumer wages and real producer wages in Germany. As detrending methods, we apply the Beveridge–Nelson decomposition, the Hodrick–Prescott filter, the Baxter–King filter, and the structural time series model. The detrended data are analyzed both in the time domain and in the frequency domain. The great advantage of an analysis in the frequency domain is that it allows to assess the relative importance of particular frequencies for the behavior of real wages. We propose to use the phase angle as a suitable measure to get detailed information about the correlation and the lead–lag behavior of real wages relative to GDP at different frequencies. In the time domain, we find that both real wages display a procyclical pattern and lag behind the business cycle. In the frequency domain, the consumer real wage lags behind the business cycle and shows an anticyclical behavior for shorter time periods, whereas for longer time spans a procyclical behavior can be observed. For the producer real wage, however, the results in the frequency domain remain inconclusive. Copyright Springer-Verlag 2013

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 44 (2013)
Issue (Month): 2 (April)
Pages: 469-490

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Handle: RePEc:spr:empeco:v:44:y:2013:i:2:p:469-490

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Related research

Keywords: Real wages; Business cycle; Frequency domain; Phase angle; Time domain; Trend-cycle decomposition; Structural time series model; Germany; E32; C22; C32; J30;

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References

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Citations

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Cited by:
  1. Marczak, Martyna & Gómez, Víctor, 2012. "Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis," FZID Discussion Papers 50-2012, University of Hohenheim, Center for Research on Innovation and Services (FZID).
  2. Marczak, Martyna & Gómez, Víctor, 2012. "SPECTRAN, a set of Matlab programs for Spectral analysis," FZID Discussion Papers 60-2012, University of Hohenheim, Center for Research on Innovation and Services (FZID).
  3. Marczak, Martyna & Gómez, Victor, 2013. "Monthly US business cycle indicators: A new multivariate approach based on a band-pass filter," FZID Discussion Papers 64-2013, University of Hohenheim, Center for Research on Innovation and Services (FZID).

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