A system approach for measuring the euro area NAIRU

Silvia Fabiani () and Ricardo Mestre

Empirical Economics, 2004, vol. 29, issue 2, 341 pages

Abstract: This paper addresses the issue of measuring the NAIRU for the euro area and assessing the robustness and precision of the obtained estimates. The empirical framework adopted is based on systems combining an Okun-type relationship between cyclical unemployment and the output gap with a Phillips curve and stochastic laws of motion for the NAIRU and potential output. Such systems have been estimated using Kalman-filter techniques. The results obtained point to an estimate of the area-wide NAIRU that is robust to changes in the underlying models. This robustness is shown to hold both in terms of the mean – i.e., the shape of the resulting NAIRU – and the variance of the process. The latter is derived through bootstrap exercises using the models alone or pooled together. The evidence found suggests that the increase in the aggregate NAIRU that took place in the early part of the sample period has come to a halt and may be about to be reversed. Copyright Springer-Verlag 2004

Keywords: Bootstrap; Kalman filter; NAIRU; unobserved components (search for similar items in EconPapers)
Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (51)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00181-003-0170-8 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: A system approach for measuring the euro area NAIRU (2001)
Software Item: RATS programs to replicate Fabiani-Mestre 2004 NAIRU model results
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:spr:empeco:v:29:y:2004:i:2:p:311-341

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-003-0170-8

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().