Unemployment hysteresis, structural changes, non-linearities and fractional integration in European transition economies
AbstractIn this paper we aim to analyse the dynamics of unemployment in a group of Central and Eastern European Countries (CEECs). The CEECs are of special importance for the future of the European Union, given that most of them have recently become member states, and labour flows have been seen to rise with their accession. By means of unit root tests incorporating structural changes and nonlinearities, as well as fractional integration, we find that the unemployment rates for the CEECs are mean reverting processes, which is consistent with the NAIRU hypothesis, although shocks tend to be highly persistent.
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Bibliographic InfoPaper provided by The University of Sheffield, Department of Economics in its series Working Papers with number 2011005.
Length: 37 pages
Date of creation: Feb 2011
Date of revision: Feb 2011
Unemployment; NAIRU; hysteresis; unit roots; fractional integration;
Find related papers by JEL classification:
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-26 (All new papers)
- NEP-EEC-2011-02-26 (European Economics)
- NEP-EUR-2011-02-26 (Microeconomic European Issues)
- NEP-LAB-2011-02-26 (Labour Economics)
- NEP-TRA-2011-02-26 (Transition Economics)
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- Rui M. Pereira, 2014.
"Okun's Law, Asymmetries and Regional Spillovers: Evidence from Virginia Metropolitan Statistical Areas and the District of Columbia,"
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- Craigwell, Roland & Mathouraparsad, Sebastien & Maurin, Alain, 2011. "Unemployment hysteresis in the English-speaking Caribbean: evidence from non-linear models," MPRA Paper 33440, University Library of Munich, Germany.
- Rui M. Pereira, 2013. "Okun's Law across the Business Cycle and during the Great Recession: A Markov Switching Analysis," Working Papers 139, Department of Economics, College of William and Mary.
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