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A New Approach to the Analysis of Shocks and the Cycle in a Model of Output and Employment

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Author Info

  • Krolzig, H.-M.
  • Toro, J.

Abstract

There 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.

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Bibliographic Info

Paper provided by European University Institute in its series Economics Working Papers with number eco99/30.

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Length: 27 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:eui:euiwps:eco99/30

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Related research

Keywords: BUSINESS CYCLES ; EMPLOYMENT ; TIME SERIES;

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Cited by:
  1. 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.
  2. Ferrara, Laurent, 2003. "A three-regime real-time indicator for the US economy," Economics Letters, Elsevier, vol. 81(3), pages 373-378, December.
  3. 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.
  4. Hans-Martin Krolzig & Massimiliano Marcellino & Grayham E. Mizon, . "A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market," Working Papers 185, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  5. Ehrmann, Michael & Ellison, Martin & Valla, Natacha, 2003. "Regime-dependent impulse response functions in a Markov-switching vector autoregression model," Economics Letters, Elsevier, vol. 78(3), pages 295-299, March.
  6. Ippei Fujiwara, 2004. "Evaluating Monetary Policy When Nominal Interest Rates Are Almost Zero," Econometric Society 2004 Far Eastern Meetings 620, Econometric Society.
  7. Maximo Camacho, 2002. "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002 274, Society for Computational Economics.
  8. Ferrara, Laurent, 2006. "A real-time recession indicator for the Euro area," MPRA Paper 4042, University Library of Munich, Germany.
  9. 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.
  10. de Bandt,O. & Malik, S., 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers 295, Banque de France.
  11. repec:hal:journl:halshs-00423890 is not listed on IDEAS

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