A New Approach to the Analysis of Shocks and the Cycle in a Model of Output and Employment

Hans-Martin Krolzig and J. Toro

Economics Working Papers from European University Institute

Abstract: There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war US employment and output data. We use a cointegrated vector autoregressive Markov-switching model where some parameters are changing according to phase of the business and employment cycle.

Keywords: BUSINESS CYCLES; EMPLOYMENT; TIME SERIES (search for similar items in EconPapers)
JEL-codes: C32 E24 E32 E37 (search for similar items in EconPapers)
Pages: 27 pages
Date: 1999
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eui:euiwps:eco99/30

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