Markov switching in disaggregate unemployment rates

Marcelle Chauvet, Chinhui Juhn () and Simon Potter

No 132, Staff Reports from Federal Reserve Bank of New York

Abstract: We develop a dynamic factor model with Markov switching to examine secular and business cycle fluctuations in U.S. unemployment rates. We extract the common dynamics among unemployment rates disaggregated for seven age groups. The framework allows analysis of the contribution of demographic factors to secular changes in unemployment rates. In addition, it allows examination of the separate contribution of changes due to asymmetric business cycle fluctuations. We find strong evidence in favor of the common factor and of the switching between high and low unemployment rate regimes. We also find that demographic adjustments can account for a great deal of the secular change in the unemployment rate, particularly the abrupt increase in the 1970s and 1980s and the subsequent decrease.

Keywords: Econometric models; Unemployment; Business cycles (search for similar items in EconPapers)
Date: 2001
New Economics Papers: this item is included in nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr132.pdf (application/pdf)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr132.html (text/html)

Related works:
Journal Article: Markov switching in disaggregate unemployment rates (2002)
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:fip:fednsr:132

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Staff Reports from Federal Reserve Bank of New York Contact information at EDIRC.
Bibliographic data for series maintained by Gabriella Bucciarelli ().