Time variation in the persistence of unemployment over the past century

Dooyeon Cho and Seunghwa Rho

Economics Letters, 2019, vol. 182, issue C, 19-22

Abstract: This paper investigates the persistence of the unemployment rate for the UK and the US over the past century by modeling the persistence to randomly evolve over time. The estimated autoregressive coefficient exhibits significant variation over time indicating the fluctuation between the hysteresis and mean-reverting phases. We find that the hysteresis phase is, to a considerable extent, associated with economic downturns caused by macroeconomic shocks, with the unemployment rate during this phase showing large deviations from the estimated natural rate of unemployment. In contrast, for the periods conforming to the natural rate theory, the actual unemployment rate fluctuates relatively closely around the estimated natural rate of unemployment.

Keywords: Time-varying parameter; Unemployment; Hysteresis; Natural rate; Persistence (search for similar items in EconPapers)
JEL-codes: C12 C22 E24 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176519301946
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:182:y:2019:i:c:p:19-22

DOI: 10.1016/j.econlet.2019.05.035

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().