EconPapers    
Economics at your fingertips  
 

Potential Output, the Natural Rate of Unemployment, and the Phillips Curve in a Multivariate Structural Time Series Framework

Franz Hahn and Gerhard Ruenstler
Additional contact information
Gerhard Ruenstler: Department of Economics, Institute for Advanced Studies, Vienna

Authors registered in the RePEc Author Service: Gerhard Rünstler ()

No 33, Economics Series from Institute for Advanced Studies

Abstract: We propose a bivariate structural time series framework to decompose GDP and the unemployment rate into their trend, cyclical, and irregular components. We implement Okun's law by a generalised version of the common cycles restriction allowing for a phase shift between the two cycles and add a price-wage block to the system. We estimate by maximum likelihood Phillips curve-type equations, where the particular cycles enter the wage and price equations in levels though the trends are modelled as non-stationary stochastic processes. The extended models provide an improved estimate of the current cyclical position, compared to univariate estimates and the HP filter.

Keywords: Structural Time Series Model; Trends and Cycles; Phillips Curve (search for similar items in EconPapers)
JEL-codes: C22 E30 (search for similar items in EconPapers)
Pages: 16 pages
Date: 1996-06
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.ihs.ac.at/publications/eco/es-33.pdf First version, 1996 (application/pdf)

Related works:
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:ihs:ihsesp:33

Ordering information: This working paper can be ordered from
Institute for Advanced Studies - Library, Josefstädterstr. 39, A-1080 Vienna, Austria

Access Statistics for this paper

More papers in Economics Series from Institute for Advanced Studies Josefstädterstr. 39, A-1080 Vienna, Austria. Contact information at EDIRC.
Bibliographic data for series maintained by Doris Szoncsitz ().

 
Page updated 2022-12-05
Handle: RePEc:ihs:ihsesp:33