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The asymmetric behaviour of spanish unemployment persistence

Author

Listed:
  • Guglielmo Maria Caporale

    () (Brunel University London)

  • Luis Gil-Alana

    () (University of Navarra)

Abstract

One of the key features of unemployment rate is its persistence, normally described as hysteresis. This note applies fractional integration techniques to show that Spanish unemployment is highly persistent and exhibits asymmetric behaviour, specifically its degree of persistence is higher during recessions (when unemployment is going up) compared to expansions (when it is going down). Further work should investigate whether this is a stylised fact also in other countries exhibiting hysteresis.

Suggested Citation

  • Guglielmo Maria Caporale & Luis Gil-Alana, 2018. "The asymmetric behaviour of spanish unemployment persistence," Economics Bulletin, AccessEcon, vol. 38(1), pages 98-104.
  • Handle: RePEc:ebl:ecbull:eb-17-00970
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2018/Volume38/EB-18-V38-I1-P10.pdf
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    References listed on IDEAS

    as
    1. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2007. "Nonlinearities and Fractional Integration in the US Unemployment Rate," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(4), pages 521-544, August.
    2. Guglielmo Caporale & Luis Gil-Alana, 2009. "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 364-375, October.
    3. Marco Bianchi & Gylfi Zoega, 1998. "Unemployment persistence: does the size of the shock matter?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 283-304.
    4. Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2016. "Testing unemployment theories: A multivariate long memory approach," Journal of Applied Economics, Universidad del CEMA, vol. 19, pages 95-112, May.
    5. Samuel Bentolila & Giuseppe Bertola, 1990. "Firing Costs and Labour Demand: How Bad is Eurosclerosis?," Review of Economic Studies, Oxford University Press, vol. 57(3), pages 381-402.
    6. Luis A. Gil‐Alana, 2008. "Fractional integration and structural breaks at unknown periods of time," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 163-185, January.
    7. Skalin, Joakim & Ter svirta, Timo, 2002. "Modeling Asymmetries And Moving Equilibria In Unemployment Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 6(02), pages 202-241, April.
    8. Lindbeck, Assar & Snower, Dennis J, 1988. "Cooperation, Harassment, and Involuntary Unemployment: An Insider-Outsider Approach," American Economic Review, American Economic Association, vol. 78(1), pages 167-188, March.
    9. Uwe Hassler & Barbara Meller, 2014. "Detecting multiple breaks in long memory the case of U.S. inflation," Empirical Economics, Springer, vol. 46(2), pages 653-680, March.
    10. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2008. "Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 52(11), pages 4998-5013, July.
    11. Lindbeck, Assar & Snower, Dennis J, 1985. "Explanations of Unemployment," Oxford Review of Economic Policy, Oxford University Press, vol. 1(2), pages 34-59, Summer.
    12. Blanchard, Olivier J. & Summers, Lawrence H., 1987. "Hysteresis in unemployment," European Economic Review, Elsevier, vol. 31(1-2), pages 288-295.
    13. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
    14. Jose Maria Casado Garcia & Javier Trivez Bielsa, 2004. "Asymmetry, Persistence And Non-Linearity Of Spanish Unemployment Rates," General Economics and Teaching 0406001, University Library of Munich, Germany.
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    Cited by:

    1. Yaya, OlaOluwa S & Ogbonna, Ahamuefula & Mudida, Robert, 2019. "Hysteresis of Unemployment Rates in Africa: New Findings from Fourier ADF test," MPRA Paper 93939, University Library of Munich, Germany.

    More about this item

    Keywords

    unemployment; asymmetries; fractional integration; persistence;

    JEL classification:

    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment

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