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Cyclical unemployment: sectoral shifts or aggregate disturbances? A vector autoregression approach

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  • Tony Caporale
  • K. Doroodian
  • M. R. M. Abeyratne
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    Abstract

    Using a multivariate vector autoregression (VAR) model, this paper investigates if sectoral shifts, inflation uncertainty, or demand shocks are the primary cause of unemployment fluctuations in the postwar US economy. A sectoral shifts variable (cross-section volatility), an ARCH measure of inflation uncertainty, and three demand shocks variables (monetary base growth rate, interest rates and inflation rates) are incorporated in a VAR model. Our major findings are: cross-section volatility Granger causes unemployment; the sectoral shifts variable and inflation uncertainty explain a small amount, while demand shocks variables explain a substantial amount of the variation in unemployment.

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    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/135048596356852&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 3 (1996)
    Issue (Month): 2 ()
    Pages: 127-130

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    Handle: RePEc:taf:apeclt:v:3:y:1996:i:2:p:127-130

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    Cited by:
    1. G. Gallipoli & G. Pelloni, 2013. "Macroeconomic Effects of Job Reallocations: A Survey," Working Papers wp897, Dipartimento Scienze Economiche, Universita' di Bologna.

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