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Time Variation in Okun's Law: A Canada and U.S. Comparison

Author

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  • Kimberly Beaton

Abstract

This article investigates the stability of Okun's law for Canada and the United States using a time varying parameter approach. Time variation is modeled as driftless random walks and is estimated using the median unbiased estimator approach developed by Stock and Watson (1998). Okun's law exhibits structural instability in both countries, with the sensitivity of the unemployment rate to movements in output growth increasing recently over time in both Canada and the United States.

Suggested Citation

  • Kimberly Beaton, 2010. "Time Variation in Okun's Law: A Canada and U.S. Comparison," Staff Working Papers 10-7, Bank of Canada.
  • Handle: RePEc:bca:bocawp:10-7
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    File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/05/wp10-7.pdf
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    Cited by:

    1. Durech, Richard & Minea, Alexandru & Mustea, Lavinia & Slusna, Lubica, 2014. "Regional evidence on Okun's Law in Czech Republic and Slovakia," Economic Modelling, Elsevier, vol. 42(C), pages 57-65.
    2. Adama Zerbo, 2017. "Croissance économique et chômage : les fondements de la loi d'Okun et le modèle IS-LM-LO," Documents de travail 176, Groupe d'Economie du Développement de l'Université Montesquieu Bordeaux IV.
    3. repec:eee:ecmode:v:69:y:2018:i:c:p:291-300 is not listed on IDEAS

    More about this item

    Keywords

    Business fluctuations and cycles; Labour markets;

    JEL classification:

    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • J00 - Labor and Demographic Economics - - General - - - General

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