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Real Wages and the Business Cycle in Germany

Author Info

Listed author(s):
  • Marczak, Martyna

    ()

    (University of Hohenheim)

  • Beissinger, Thomas

    ()

    (University of Hohenheim)

Abstract

This paper establishes stylized facts about the cyclicality of real consumer wages and real producer wages in Germany. As detrending methods we apply the deterministic trend model, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter, the Baxter-King filter and the structural time series model. The detrended data are analyzed both in the time domain and in the frequency domain. The great advantage of an analysis in the frequency domain is that it allows to assess the relative importance of particular frequencies for the behavior of real wages. In the time domain we find that both real wages display a procyclical pattern and lag behind the business cycle. In the frequency domain the consumer real wage lags behind the business cycle and shows an anticyclical behavior for shorter time periods, whereas for longer time spans a procyclical behavior can be observed. However, for the producer real wage the results in the frequency domain remain inconclusive.

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Paper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 5199.

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Length: 37 pages
Date of creation: Sep 2010
Publication status: published in: Empirical Economics, 2013, 44 (2), 469-490
Handle: RePEc:iza:izadps:dp5199
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IZA, P.O. Box 7240, D-53072 Bonn, Germany

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Keywords: structural time series model; real wages; business cycle; frequency domain; time domain; Germany; trend-cycle decomposition; phase angle;

Other versions of this item:

Find related papers by JEL classification:
  • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
  • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
  • 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
  • J30 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - General

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  1. Messina, Julian & Strozzi, Chiara & Turunen, Jarkko, 2009. "Real wages over the business cycle: OECD evidence from the time and frequency domains," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1183-1200, June.
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Cited by:

  1. repec:spr:empeco:v:52:y:2017:i:4:d:10.1007_s00181-016-1108-2 is not listed on IDEAS
  2. Marczak, Martyna & Gómez, Victor, 2013. "Monthly US business cycle indicators: A new multivariate approach based on a band-pass filter," FZID Discussion Papers 64-2013, University of Hohenheim, Center for Research on Innovation and Services (FZID).
  3. Marczak, Martyna & Gómez, Víctor, 2012. "SPECTRAN, a set of Matlab programs for Spectral analysis," FZID Discussion Papers 60-2012, University of Hohenheim, Center for Research on Innovation and Services (FZID).
  4. 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.
  5. Marczak, Martyna & Beissinger, Thomas, 2015. "Bidirectional relationship between investor sentiment and excess returns: New evidence from the wavelet perspective," Hohenheim Discussion Papers in Business, Economics and Social Sciences 06-2015, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
  6. Jan Bruha & Jiri Polansky, 2015. "Empirical Analysis of Labor Markets over Business Cycles: An International Comparison," Working Papers 2015/15, Czech National Bank, Research Department.
  7. Miyamoto, Hiroaki, 2015. "Cyclical behavior of real wages in Japan," Economics Letters, Elsevier, vol. 130(C), pages 56-59.

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