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Wages, Prices, Productivity, Inflation and Unemployment in Italy 1970-1994

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  • Massimiliano Marcellino

    (Instituto di Economia Politica and IGIER)

  • Grayham E. Mizon

    (Southampton University)

Abstract

The relationships between wages, prices, productivity, inflation and unemployment in Italy between 1970 and 1994, are modelled using a cointegrated vector autoregression. There is evidence of a change in the underlying equilibria and in the dynamic evolution of the variables, probably associated with the substantial changes in many sectors of the Italian economy after 1979. Alternative ways to model structural change in the Italian labour market are considered, including choice of lag length, the use of dummy variables, modelling conditionally on related macroeconomic variables, and modelling separate regimes. In adopting a split sample approach the results favour an hysteresis interpretation of unemployment.

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Paper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 0911.

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Date of creation: 01 Aug 2000
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Handle: RePEc:ecm:wc2000:0911

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  1. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198774501, October.
  2. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996. "Cointegration tests in the presence of structural breaks," Journal of Econometrics, Elsevier, Elsevier, vol. 70(1), pages 187-220, January.
  3. Michael P. Clements & David F. Hendry, 2001. "Forecasting Non-Stationary Economic Time Series," MIT Press Books, The MIT Press, The MIT Press, edition 1, volume 1, number 0262531895, December.
  4. Clements, Michael P. & Mizon, Grayham E., 1991. "Empirical analysis of macroeconomic time series : VAR and structural models," European Economic Review, Elsevier, Elsevier, vol. 35(4), pages 887-917, May.
  5. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 57(6), pages 1361-1401, November.
  6. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  7. Christopher Erickson & Andrea Ichino, 1995. "Wage Differentials in Italy: Market Forces, Institutions, and Inflation," NBER Chapters, in: Differences and Changes in Wage Structures, pages 265-306 National Bureau of Economic Research, Inc.
  8. Blanchard, Olivier Jean & Summers, Lawrence H, 1988. "Beyond the Natural Rate Hypothesis," American Economic Review, American Economic Association, American Economic Association, vol. 78(2), pages 182-87, May.
  9. Hendry, D.F. & Mizon, G.E., 1990. "Evaluating Dynamic Econometric Models By Encompassing The Var," Economics Series Working Papers 99102, University of Oxford, Department of Economics.
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  11. Francesco Daveri & Guido Tabellini, . "Unemployment, Growth and Taxation in Industrial Countries," Working Papers 122, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  12. C Bean, 1992. "European Unemployment: A Survey," CEP Discussion Papers dp0071, Centre for Economic Performance, LSE.
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  14. Banerjee, A & Hendry, D-F & Mizon, G-E, 1996. "The Econometric Analysis of Economic Policy," Economics Working Papers, European University Institute eco96/34, European University Institute.
  15. Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 17(1), pages 129-36, January.
  16. Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers, Helsinki - Department of Economics 76a, Helsinki - Department of Economics.
  17. Jurgen A. Doornik & David F. Hendry & Bent Nielsen, 1998. "Inference in Cointegrating Models: UK M1 Revisited," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 12(5), pages 533-572, December.
  18. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198283164, October.
  19. Bean, Charles R., 1994. "European unemployment: A retrospective," European Economic Review, Elsevier, Elsevier, vol. 38(3-4), pages 523-534, April.
  20. Hendry, D.F. & Mizon, G.E., 1999. "On selecting policy analysis models by forecast accuracy," Discussion Paper Series In Economics And Econometrics 9918, Economics Division, School of Social Sciences, University of Southampton.
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