Time Variation in Okun's Law: A Canada and U.S. Comparison
AbstractThis article investigates the stability of Okun's law for Canada and the United States using a time varying parameter approach. Time variation is modeled as driftless random walks and is estimated using the median unbiased estimator approach developed by Stock and Watson (1998). Okun's law exhibits structural instability in both countries, with the sensitivity of the unemployment rate to movements in output growth increasing recently over time in both Canada and the United States.
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Bibliographic InfoPaper provided by Bank of Canada in its series Working Papers with number 10-7.
Length: 19 pages
Date of creation: 2010
Date of revision:
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Business fluctuations and cycles; Labour markets;
Find related papers by JEL classification:
- E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
- J00 - Labor and Demographic Economics - - General - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-06 (All new papers)
- NEP-BEC-2010-03-06 (Business Economics)
- NEP-CBA-2010-03-06 (Central Banking)
- NEP-LAB-2010-03-06 (Labour Economics)
- NEP-MAC-2010-03-06 (Macroeconomics)
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