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Sources of German unemployment: evidence from a structural VAR model

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  • Linzert, Tobias

Abstract

This paper analyzes the dynamic effects of different macroeconomic shocks on unemployment in Germany. In a first step, a cointegration analysis of productivity, prices, real wages, employment, and the unemployment rate reveals two long run relationships, interpreted as a labor demand and a wage setting scheme. Secondly, a structural VAR model is identified using the restrictions suggested by a single macroeconomic model. The impulse response analysis and the forecast error variance decomposition display that price, demand, and labor supply shocks affect unemployment significantly in the short/medium run. Interestingly, however, wage and technology shocks do not seem to play a dominant role. --

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Bibliographic Info

Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 01-41.

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Date of creation: 2001
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Handle: RePEc:zbw:zewdip:5396

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Keywords: Unemployment; Structural VAR; Cointegration;

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  1. repec:cup:macdyn:v:2:y:1998:i:4:p:472-91 is not listed on IDEAS
  2. Juan J. Dolado & Juan F. Jimeno, . "The causes of Spanish unemployment: A structural VAR apporach," Working Papers 96-19, FEDEA.
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  7. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
  8. Peter C.B. Phillips, 1995. "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's," Cowles Foundation Discussion Papers 1102, Cowles Foundation for Research in Economics, Yale University.
  9. Carlton, Dennis W, 1986. "The Rigidity of Prices," American Economic Review, American Economic Association, vol. 76(4), pages 637-58, September.
  10. Saikkonen, Pentti & Lutkepohl, Helmut, 2000. "Testing for the Cointegrating Rank of a VAR Process with Structural Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 451-64, October.
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  14. Jennifer Hunt, 1992. "The Effect of Unemployment Compensation on Unemployment Duration in Germany," Discussion Papers of DIW Berlin 50, DIW Berlin, German Institute for Economic Research.
  15. Giannini, Carlo & Lanzarotti, Antonio & Seghelini, Mario, 1995. "A traditional interpretation of macroeconomic fluctuations: The case of Italy," European Journal of Political Economy, Elsevier, vol. 11(1), pages 131-155, March.
  16. Olivier Blanchard & Justin Wolfers, 1999. "The Role of Shocks and Institutions in the Rise of European Unemployment: The Aggregate Evidence," NBER Working Papers 7282, National Bureau of Economic Research, Inc.
  17. Hansen, Gerd, 2000. "The German labour market and the unification shock," Economic Modelling, Elsevier, vol. 17(3), pages 439-454, August.
  18. Scott, Alasdair, 2003. "APPLIED MACROECONOMETRICS Carlo A. Favero Oxford University Press, 2001," Macroeconomic Dynamics, Cambridge University Press, vol. 7(02), pages 313-315, April.
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Cited by:
  1. Arntz, Melanie & Gregory, Terry & Lehmer, Florian, 2012. "Unequal Pay or Unequal Employment? What Drives the Skill-Composition of Labor Flows in Germany?," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62309, Verein für Socialpolitik / German Economic Association.

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