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Time Variation in Okun's Law: A Canada and U.S. Comparison

Kimberly Beaton

Staff Working Papers from Bank of Canada

Abstract: This article investigates the stability of Okun's law for Canada and the United States using a time varying parameter approach. Time variation is modeled as driftless random walks and is estimated using the median unbiased estimator approach developed by Stock and Watson (1998). Okun's law exhibits structural instability in both countries, with the sensitivity of the unemployment rate to movements in output growth increasing recently over time in both Canada and the United States.

Keywords: Business fluctuations and cycles; Labour markets (search for similar items in EconPapers)
JEL-codes: E24 J00 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2010
New Economics Papers: this item is included in nep-bec, nep-cba, nep-lab and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:10-7

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