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Unemployment Dynamics: An Unobserved Components Approach

Author

Listed:
  • Ruenstler, Gerhard

    (Institute for Advanced Studies, Vienna)

Abstract

The study uses a bivariate unobserved components model for output and the unemployment rate in order to examine stylised facts of the cyclical behaviour of unemployment and to estimate the size of persistence. The model is applied to the U.S., Canada, and major European economies. Estimates of cyclically adjusted unemployment rates are obtained that account for persistence effects and are subject to considerably smaller confidence bounds compared to approaches based on wage and price setting equations.

Suggested Citation

  • Ruenstler, Gerhard, 1998. "Unemployment Dynamics: An Unobserved Components Approach," Economics Series 53, Institute for Advanced Studies.
    • Handle: RePEc:ihs:ihsesp:53
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    File URL: https://irihs.ihs.ac.at/id/eprint/1065
    File Function: First version, 1998
    Download Restriction: no
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    More about this item

    Keywords

    Trend-and-Cycle Decomposition; Persistence; Multivariate; Stochastic Cycles;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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