Chocs permanents et transitoires dans le chômage et le PIB: Allemagne versus les pays Européens

Gaëtan Stephan

Revue d'économie politique, 2014, vol. 124, issue 5, 789-815

Abstract: This paper decomposes movements of real GDP and unemployment rate between permanent shocks and transitory shocks. We use a bivariate unobserved components model on four big European countries (Germany, France, Italy and United Kingdom) with quarterly data since 1970. Our model allows for explicit correlation between transitory and permanents shocks and structural breaks in the permanent components of real GDP and unemployment. The results show that movements in real GDP and unemployment rate are explained by permanent movements rather than transitory movements. Conversely, we find that transitory movements explain overall fluctuations in Germany.

Keywords: Real GDP; unemployment (search for similar items in EconPapers)
Date: 2014
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