Measuring the NAIRU – a structural VAR approach

Hongmei Zhao and Vincent Hogan ()

No 200617, Working Papers from School of Economics, University College Dublin

Abstract: We calculate the NAIRU for the U.S. in a framework where inflation and the unemployment rate can respond to each other. The NAIRU is defined as the component of the actual unemployment rate that is uncorrelated with inflation in the long run. Using a structural VAR approach, the NAIRU and core inflation can be estimated simultaneously. Our estimation results show that the NAIRU falls dramatically at the end of 1990s and the long run vertical Phillips Curve shifts back from 6.8 per cent before 1997 to 4 per cent afterwards.

Keywords: Natural rate of unemployment--United States; Inflation (Finance)--Mathematical models (search for similar items in EconPapers)
Date: 2006-11
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http://hdl.handle.net/10197/331 First version, 2006 (application/pdf)

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Journal Article: Measuring the NAIRU — A structural VAR approach (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ucn:wpaper:200617

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