Stochastic shifts in the natural rate of unemployment: evidence from Greece

Margarita Katsimi

Applied Economics Letters, 2000, vol. 7, issue 4, 239-242

Abstract: The paper aims at estimating the natural rate of unemployment in Greece. The methodology adopted follows that of Hamilton. It is assumed that the rate of unemployment follows a stochastic process with periodic shifts in the mean and variance. The natural rate is then estimated using a Markov switching process. Empirical evidence is found that the Greek economy switches over time between two regimes: a regime in which the natural rate and the variance of the rate of unemployment are low (the 1970s); and a regime in which both the natural rate and the variance of the rate of unemployment are high (the 1960s, 1980s and 1990s).

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:7:y:2000:i:4:p:239-242

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DOI: 10.1080/135048500351582

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