Advanced Search
MyIDEAS: Login to save this paper or follow this series

Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis

Contents:

Author Info

  • Marczak, Martyna
  • Gómez, Víctor

Abstract

This article provides new insights into the cyclical behavior of consumer and producer real wages in the USA and Germany. We apply two methods for the estimation of the cyclical components from the data: the approach based on the structural time series models and the ARIMA-model-based approach combined with the canonical decomposition and a band-pass filter. We examine the extracted cycles drawing on two wavelet concepts: wavelet coherence and wavelet phase angle. In contrast to the analysis in the time or frequency domains, wavelet analysis allows for the identification of possible changes in cyclical patterns over time. From the findings of our study, we can infer that the USA and Germany differ with respect to the lead-lag relationship of real wages and the business cycle. In the USA, both real wages are leading the business cycle in the entire time interval. The German consumer real wage is, on the other hand, lagging the business cycle. For the German producer real wage, the lead-lag pattern changes over time. We also find that real wages in the USA as well in Germany are procyclical or acyclical until 1980 and countercyclical thereafter. --

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://econstor.eu/bitstream/10419/59518/1/717875792.pdf
Download Restriction: no

Bibliographic Info

Paper provided by University of Hohenheim, Center for Research on Innovation and Services (FZID) in its series FZID Discussion Papers with number 50-2012.

as in new window
Length:
Date of creation: 2012
Date of revision:
Handle: RePEc:zbw:fziddp:502012

Contact details of provider:
Postal: D-70593 Stuttgart
Phone: 0711-459-22476
Fax: 0711-459-23360
Email:
Web page: http://www.fzid.uni-hohenheim.de/
More information through EDIRC

Related research

Keywords: real wages; business cycle; wavelet analysis; wavelet phase angle; trend-cycle decomposition; structural time series model; ARIMA-model-based approach; band-pass filter;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

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.:
as in new window
  1. António Rua & Luís Catela Nunes, 2009. "International comovement of stock market returns: a wavelet analysis," Working Papers, Banco de Portugal, Economics and Research Department w200904, Banco de Portugal, Economics and Research Department.
  2. Messina, Julián & Strozzi, Chiara & Turunen, Jarkko, 2009. "Real wages over the business cycle: OECD evidence from the time and frequency domains," Working Paper Series, European Central Bank 1003, European Central Bank.
  3. Andrew C. Harvey & Thomas M. Trimbur, 2003. "General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 244-255, May.
  4. Gomez, Victor, 2001. "The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 19(3), pages 365-73, July.
  5. Katharine G. Abraham & John C. Haltiwanger, 1995. "Real Wages and the Business Cycle," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 33(3), pages 1215-1264, September.
  6. Silke Anger, 2007. "The Cyclicality of Effective Wages within Employer-Employee Matches: Evidence from German Panel Data," SOEPpapers on Multidisciplinary Panel Data Research 34, DIW Berlin, The German Socio-Economic Panel (SOEP).
  7. Peter Brandner & Klaus Neusser, 1992. "Business cycles in open economies: Stylized facts for Austria and Germany," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 128(1), pages 67-87, March.
  8. Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon, 2001. "Scaling properties of foreign exchange volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 289(1), pages 249-266.
  9. Patrick M. Crowley, 2007. "A Guide To Wavelets For Economists ," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 21(2), pages 207-267, 04.
  10. Brandolini, Andrea, 1995. " In Search of a Stylised Fact: Do Real Wages Exhibit a Consistent Pattern of Cyclical Variability?," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 9(2), pages 103-63, June.
  11. P J Pérez, 2001. "Cyclical Properties in the Main Western Economies," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester 33, Economics, The Univeristy of Manchester.
  12. Marczak, Martyna & Beissinger, Thomas, 2010. "Real Wages and the Business Cycle in Germany," IZA Discussion Papers 5199, Institute for the Study of Labor (IZA).
  13. Philipp Berens, . "CircStat: A MATLAB Toolbox for Circular Statistics," Journal of Statistical Software, American Statistical Association, American Statistical Association, vol. 31(i10).
  14. Marco Gallegati & Mauro Gallegati & James Bernard Ramsey & Willi Semmler, 2011. "The US Wage Phillips Curve across Frequencies and over Time," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 73(4), pages 489-508, 08.
  15. Robert Hart & James Malley & Ulrich Woitek, 2009. "Real earnings and business cycles: new evidence," Empirical Economics, Springer, Springer, vol. 37(1), pages 51-71, September.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:zbw:fziddp:502012. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.