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Exploring Okun's law asymmetry: an endogenous threshold LSTR approach
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| Personen und Körperschaften: | , , |
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| Titel: | Exploring Okun's law asymmetry: an endogenous threshold LSTR approach/ Dimitris Christopoulos, Peter McAdam, Elias Tzavalis |
| Format: | E-Book |
| Sprache: | Englisch |
| veröffentlicht: |
Frankfurt am Main, Germany
European Central Bank
[2019]
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| Gesamtaufnahme: |
Europäische Zentralbank: Working paper series ; no 2345 (December 2019)
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| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | Using a novel methodology, we offer new evidence that a threshold relationship exists for Okun's law. We use a logistic smoothed transition regression (LSTR) model where possible threshold endogeneity is addressed based on copula theory. We also suggest a new test of the linearity hypothesis against the LSTR model. A combination of structural and policy-related variables accounts for changes (rises) in the Okun's parameter in the US in recent decades. Accordingly, the unemployment gap is increasingly associated with a smaller output gap. Whilst the Great Recession accelerated that rise, the bulk of the change occurred beforehand. |
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| Umfang: | 1 Online-Ressource (circa 56 Seiten); Illustrationen |
| ISBN: |
9789289939768
9289939761 |
| DOI: | 10.2866/120359 |