Markov switching in disaggregate unemployment rates

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Markov switching in disaggregate unemployment rates

Author Info

Marcelle Chauvet
Chinhui Juhn
Simon Potter

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Abstract

We develop a dynamic factor model with Markov switching to examine secular and business cycle fluctuations in U.S. unemployment rates. We extract the common dynamics among unemployment rates disaggregated for seven age groups. The framework allows analysis of the contribution of demographic factors to secular changes in unemployment rates. In addition, it allows examination of the separate contribution of changes due to asymmetric business cycle fluctuations. We find strong evidence in favor of the common factor and of the switching between high and low unemployment rate regimes. We also find that demographic adjustments can account for a great deal of the secular change in the unemployment rate, particularly the abrupt increase in the 1970s and 1980s and the subsequent decrease.

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Paper provided by Federal Reserve Bank of New York in its series Staff Reports with number 132.

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Date of creation: 2001
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Handle: RePEc:fip:fednsr:132

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Article
- Chinhui Juhn & Simon Potter & Marcelle Chauvet, 2002. "Markov switching in disaggregate unemployment rates," Empirical Economics, Springer, vol. 27(2), pages 205-232. [Downloadable!] (restricted)

This paper has been announced in the following NEP Reports:

NEP-ALL-2002-03-14 (All new papers)
NEP-ETS-2002-03-14 (Econometric Time Series)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Boldin, Michael D, 1994. "Dating Turning Points in the Business Cycle," Journal of Business, University of Chicago Press, vol. 67(1), pages 97-131, January. [Downloadable!] (restricted)
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Other versions:
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Other versions:
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Other versions:
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Other versions:
- Rothman, Philip, 1991. "Further evidence on the asymmetric behavior of unemployment rates over the business cycle," Journal of Macroeconomics, Elsevier, vol. 13(2), pages 291-298. [Downloadable!] (restricted)
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Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

David Frankel & Krzysztof Burdzy, 2005. "Shocks and Business Cycles," Advances in Theoretical Economics, Berkeley Electronic Press, vol. 5(1), pages 1140-1140. [Downloadable!] (restricted)

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