A New Approach to the Analysis of Shocks and the Cycle in a Model of Output and Employment
AbstractThere is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war US employment and output data. We use a cointegrated vector autoregressive Markov-switching model where some parameters are changing according to phase of the business and employment cycle.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by European University Institute in its series Economics Working Papers with number eco99/30.
Length: 27 pages
Date of creation: 1999
Date of revision:
Contact details of provider:
Postal: Badia Fiesolana, Via dei Roccettini, 9, 50016 San Domenico di Fiesole (FI) Italy
Web page: http://www.eui.eu/ECO/
More information through EDIRC
BUSINESS CYCLES ; EMPLOYMENT ; TIME SERIES;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Ferrara, Laurent, 2006. "A real-time recession indicator for the Euro area," MPRA Paper 4042, University Library of Munich, Germany.
- de Bandt,O. & Malik, S., 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers 295, Banque de France.
- Ippei Fujiwara, 2004.
"Evaluating Monetary Policy When Nominal Interest Rates Are Almost Zero,"
Econometric Society 2004 Far Eastern Meetings
620, Econometric Society.
- Fujiwara, Ippei, 2006. "Evaluating monetary policy when nominal interest rates are almost zero," Journal of the Japanese and International Economies, Elsevier, vol. 20(3), pages 434-453, September.
- Ehrmann, Michael & Ellison, Martin & Valla, Natacha, 2003.
"Regime-dependent impulse response functions in a Markov-switching vector autoregression model,"
Elsevier, vol. 78(3), pages 295-299, March.
- Tom Doan, . "RATS program to replicate Ehrmann-Ellison-Valla(2003) regime dependent impulse response," Statistical Software Components RTZ00177, Boston College Department of Economics.
- Ehrmann , Michael & Ellison, Martin & Valla, Natacha, 2001. "Regime-dependent impulse response functions in a Markov-switching vector autoregression model," Research Discussion Papers 11/2001, Bank of Finland.
- Hans-Martin Krolzig & Massimiliano Marcellino & Grayham E. Mizon, .
"A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market,"
185, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Massimiliano Marcellino & Grayham E. Mizon & Hans-Martin Krolzig, 2002. "A Markov-switching vector equilibrium correction model of the UK labour market," Empirical Economics, Springer, vol. 27(2), pages 233-254.
- Krolzig, Hans-Martin & Marcellino, Massimiliano & Mizon, Grayham E., 2000. "A Markov-switching vector equilibrium correction model of the UK labour market," Discussion Paper Series In Economics And Econometrics 0105, Economics Division, School of Social Sciences, University of Southampton.
- Ferrara, Laurent, 2003. "A three-regime real-time indicator for the US economy," Economics Letters, Elsevier, vol. 81(3), pages 373-378, December.
- repec:hal:journl:halshs-00423890 is not listed on IDEAS
- AKA, Bédia F., 2009. "Business Cycle And Sectoral Fluctuations: A Nonlinear Model For Côte D’Ivoire," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 9(1), pages 111-126.
- Camacho, Maximo, 2005. "Markov-switching stochastic trends and economic fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 135-158, January.
- Altug, Sumru G. & Bildirici, Melike, 2010.
"Business Cycles around the Globe: A Regime-switching Approach,"
CEPR Discussion Papers
7968, C.E.P.R. Discussion Papers.
- Sumru Altug & Melike Bildirici, 2010. "Business Cycles around the Globe: A Regime Switching Approach," KoÃ§ University-TUSIAD Economic Research Forum Working Papers 1009, Koc University-TUSIAD Economic Research Forum.
- Sumru Altuğ & Melike Bildirici, 2010. "Business Cycles around the Globe: A Regime Switching Approach," Working Papers 0032, Yildiz Technical University, Department of Economics, revised Mar 2010.
- Maximo Camacho, 2002. "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002 274, Society for Computational Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marcia Gastaldo).
If references are entirely missing, you can add them using this form.