Searching for Patterns of Unemployment Persistence in OECD Countries with Aggregated and Disaggregated Data, 2000-2014

One major concern regarding the recent financial crisis that hit the U.S. and several other OECD countries is that it may have worsened the pattern of unemployment persistence in those countries where the rate of unemployment has remained above pre–crisis levels. In this context, we use mean bias-corrected parameter estimator and bootstrap permutation test methods with a moving window to test for changes in the pattern of unemployment persistence in 29 OECD countries before and after the recent financial crisis using monthly aggregated and quarterly disaggregated data. We estimate the most likely date of change in the trend of unemployment and use this information to compute an unbiased scalar measure of persistence to test whether the recent financial crisis has produced any significant change in the pattern of unemployment persistence. We find evidence of an increased unemployment persistence in several countries which is correlated with the recent financial crisis.