Autori
Krolzig, Hans-Martin
Toro, Juan

Titolo
A new approach to the analysis of shocks and the cycle in a model of output and employment
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1999 - Fascicolo: 30 - Pagina iniziale: 1 - Pagina finale: 27

There is a wide literature on thè dynamic adjustrnent of employment and its relationship with thè business cycle. Our aim is to propose a statistica! mode! that offers a congruent representation of post-war US employment and output data. We use a coinlegrated vector autoregressive Markov-switching model where some parameters are changing accord-ing to phase of thè business and employment cycle. Employment and output are found to bave a common cyclical component and thè long run dynamics are characterized by a cointegrating vector including employment and output and a trend as a proxy for lechnological progress and capitai accurnulation. Short-run and long-run dynamics are jointly estimated in a Markov-switching vector-equilibrìum-correction model with three rcgimes representing recession, growth and high growth. For thè anaJysis of thè dynamics of output and employment, a new set of impulse-response exercises is proposed.



Testo completo: http://www.iue.it/ECO/WP-Texts/ECO99-30.pdf

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