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Hysteresis and Nairu in the Euro Area

Author

Listed:
  • Camille Logeay

    () (IMK at the Hans Boeckler Foundation)

  • Silke Tober

    () (IMK at the Hans Boeckler Foundation)

Abstract

This paper analyses the Nairu in the Euro Area and the influence that hysteresis had on its development. Using the Kalman-filter technique we find that the Nairu has varied considerably since the early seventies. The Kalman-filter technique is applied here using explicit exogenous variables. In order to test for hysteresis, the dependence of the Nairu on actual unemployment and long-term unemployment is estimated and found to be significant for the Euro Area and Germany respectively. The existence of hysteresis effects implies the possibility of a long-run non-superneutrality of monetary policy.

Suggested Citation

  • Camille Logeay & Silke Tober, 2005. "Hysteresis and Nairu in the Euro Area," IMK Working Paper 04-2005, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  • Handle: RePEc:imk:wpaper:04-2005
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    Cited by:

    1. Emilio Congregado & Antonio Golpe & Simon Parker, 2012. "The dynamics of entrepreneurship: hysteresis, business cycles and government policy," Empirical Economics, Springer, pages 1239-1261.
    2. Gordana Marjanovic & Ljiljana Maksimovic & Nenad Stanisic, 2015. "Hysteresis and the NAIRU: The Case of Countries in Transition," Prague Economic Papers, University of Economics, Prague, pages 503-515.
    3. Emilio Congregado & Antonio Golpe & Simon Parker, 2012. "The dynamics of entrepreneurship: hysteresis, business cycles and government policy," Empirical Economics, Springer, pages 1239-1261.
    4. repec:prg:jnlpep:v:preprint:id:526:p:1-13 is not listed on IDEAS

    More about this item

    Keywords

    Nairu; hysteresis; Kalman Filter; Phillips curve; superneutrality;

    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
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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