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Persistence and Cycles in US Hours Worked

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  • Guglielmo Maria Caporale
  • Luis A. Gil-Alana

Abstract

This paper analyses monthly hours worked in the US over the sample period 1939m1 − 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterised by autocorrelations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is unbounded at a non-zero frequency. The reason for choosing this specification is that the periodogram of the hours worked series has a peak at a frequency away from zero. The empirical results confirm that this model works extremely well for hours worked, and it is then employed to analyse their relationship with technology shocks. It is found that hours worked increase on impact in response to a technology shock (though the effect dies away rapidly), consistently with Real Business Cycle (RBC) models.

Suggested Citation

  • Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012. "Persistence and Cycles in US Hours Worked," CESifo Working Paper Series 3767, CESifo Group Munich.
    • Handle: RePEc:ces:ceswps:_3767
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    References listed on IDEAS

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    3. Jordi Gali, 1999. "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?," American Economic Review, American Economic Association, vol. 89(1), pages 249-271, March.
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    Citations

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    Cited by:

    1. Shim, Myungkyu & Yang, Hee-Seung, 2016. "New stylized facts on occupational employment and their implications: Evidence from consistent employment data," Economic Modelling, Elsevier, vol. 59(C), pages 402-415.
    2. Gil-Alana, Luis A. & Gupta, Rangan, 2014. "Persistence and cycles in historical oil price data," Energy Economics, Elsevier, vol. 45(C), pages 511-516.
    3. Marczak, Martyna & Gómez, Víctor, 2015. "Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis," Economic Modelling, Elsevier, vol. 47(C), pages 40-52.

    More about this item

    Keywords

    hours worked; fractional integration; cycles; technology shocks;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity

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