Modelling a Regime-Shifting New Zealand Beveridge Curve
AbstractThis paper offers new insights into Beveridge curve analysis by modelling the vacancy-unemployment rate relationship within a Markov regime-switching environment in which the probability of curve-shifting is determined endogenously by shift factors. Shift factor candidates include structural factors (such as labour market participation and net migration) and cyclical variables (such as GDP growth and real interest rates). This approach enables us to estimate regime-specific parameters and the role played by shift factors in influencing the transition probabilities of switching between regimes. We illustrate our model with an application to New Zealand.
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Bibliographic InfoPaper provided by University of Waikato, Department of Economics in its series Working Papers in Economics with number 09/13.
Length: 17 pages
Date of creation: 30 Dec 2009
Date of revision:
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Beveridge curve; regime-switching; New Zealand;
Find related papers by JEL classification:
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- E2 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment
- J6 - Labor and Demographic Economics - - Mobility, Unemployment, and Vacancies
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