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Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland, and the UK

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  • Massimiliano Marcellino
  • Grayham E. Mizon

Abstract

The relationship between wages, prices, productivity, inflation, and unemployment in Italy, Poland, and the UK between the 1960’s and the early 1990’s is modelled as a cointegrated vector autoregression subject to regime shifts. For each of these economies there is clear evidence of a change in the underlying equilibria of this sector of the economy. Hypotheses concerning the similarity of the transition from a rigid to a flexible labour market are tested.

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Paper provided by IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University in its series Working Papers with number 145.

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Handle: RePEc:igi:igierp:145

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  1. Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107, Octomber.
  2. Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-36, January.
  3. Hans-Martin Krolzig, 1999. "Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts," Computing in Economics and Finance 1999 1113, Society for Computational Economics.
  4. Clements, Michael P. & Mizon, Grayham E., 1991. "Empirical analysis of macroeconomic time series : VAR and structural models," European Economic Review, Elsevier, vol. 35(4), pages 887-917, May.
  5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  6. Welfe, Aleksander, 1991. " Modelling Wages in Centrally Planned Economies: The Case of Poland," Economic Change and Restructuring, Springer, vol. 24(1), pages 47-58.
  7. Welfe, Aleksander, 1996. " The Price-Wage Inflationary Spiral in Poland," Economic Change and Restructuring, Springer, vol. 29(1), pages 33-50.
  8. Roberto Golinelli & Renzo Orsi, . "Exchange Rate, Inflation and Unemployment in East European Economies: the Case of Poland and Hungary," Ace Project Memoranda 96/11, Department of Economics, University of Leicester.
  9. 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.
  10. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164, Octomber.
  11. Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers 76a, Helsinki - Department of Economics.
  12. Golinelli, Roberto & Orsi, Renzo, 1994. " Price-Wage Dynamics in a Transition Economy: The Case of Poland," Economic Change and Restructuring, Springer, vol. 27(3), pages 293-313.
  13. Jurgen A. Doornik & David F. Hendry & Bent Nielsen, 1998. "Inference in Cointegrating Models: UK M1 Revisited," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 533-572, December.
  14. Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August.
  15. repec:sae:niesru:v:111:y::i:1:p:62-85 is not listed on IDEAS
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Cited by:
  1. Rita Duarte & Carlos Robalo Marques, 2009. "The dynamic effects of shocks to wages and prices in the United States and the Euro Area," Working Papers w200915, Banco de Portugal, Economics and Research Department.
  2. 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.
  3. Ana María Iregui & Jesús Otero, . "On the Dynamics of Unemployment in a Developing Economy: Colombia," Borradores de Economia 208, Banco de la Republica de Colombia.
  4. Jolejole-Foreman, Maria Christina & Mallory, Mindy L. & Baylis, Katherine R., 2013. "Impact of Wheat and Rice Export Ban on Indian Market Integration," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150595, Agricultural and Applied Economics Association.
  5. Binotti, Annetta Maria & Ghiani, Enrico, 2008. "Changes in aggregate supply conditions in Italy: A small econometric model and its policy implications," Journal of Policy Modeling, Elsevier, vol. 30(6), pages 1017-1039.
  6. Jesus Otero & Manuel Ramirez, 2002. "On the determinants of the inflation rate in Colombia: a disequilibrium market approach," BORRADORES DE INVESTIGACIÓN 003296, UNIVERSIDAD DEL ROSARIO.
  7. Ian Babetskii, 2006. "Aggregate Wage Flexibility in Selected New EU Member States," Working Papers 2006/1, Czech National Bank, Research Department.
  8. Kim, Byung-Yeon, 2001. "Determinants of Inflation in Poland: A Structural Cointegration Approach," BOFIT Discussion Papers 16/2001, Bank of Finland, Institute for Economies in Transition.

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