Okun’s Law Across Time and Frequencies

Luís Aguiar-Conraria (), Manuel Martins and Maria Joana Soares ()
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Maria Joana Soares: NIPE and Department of Mathematics and Applications, University of Minho

No 13/2019, NIPE Working Papers from NIPE - Universidade do Minho

Abstract: We present the first assessment of U.S. Okun’s Law across time and frequencies, with a set of continuous wavelet tools that allows for estimating Okun’s coefficient and the lead/lag of output over unemployment at each moment of time for each cyclical frequency. We find similar results for the gaps and the first differences specifications at business cycles frequencies, but not at medium and long run cycles. Okun’s coefficient has increased (in absolute value) since the mid-1960s, except in 1985-1995, and is not particularly sensitive to recessions. The lead of output varies considerably along time and also at the different frequencies.

Keywords: Okun’s Law; Unemployment; Business Cycles; Wavelet Gain; Time-Frequency Estimation; Continuous Wavelet Transform (search for similar items in EconPapers)
JEL-codes: C49 E24 E32 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Okun’s Law across time and frequencies (2020)
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