What determines unemployment in the long run? : Band spectrum regression on ten countries, 1913-2016
(2019) In Lund Papers in Economic History. Education and the Labour Market- Abstract
- This paper presents an empirical analysis of the relation between un-
employment and macroeconomic performance. A strong correlation has
been pointed out before, but a crucial question is over what time-horizon
this holds. To the best of our knowledge, no previous cross-country study
has shown that there is a long-run relationship between unemployment
and macroeconomic performance over a time-period that stretches before
the 1960s. To address this issue, we use wavelet analysis to decompose the
time series into short, medium and long-run variations, and band spec-
trum regressions on the relation between unemployment, GDP, invest-
ment, long-term interest rate and TFP, covering ten countries... (More) - This paper presents an empirical analysis of the relation between un-
employment and macroeconomic performance. A strong correlation has
been pointed out before, but a crucial question is over what time-horizon
this holds. To the best of our knowledge, no previous cross-country study
has shown that there is a long-run relationship between unemployment
and macroeconomic performance over a time-period that stretches before
the 1960s. To address this issue, we use wavelet analysis to decompose the
time series into short, medium and long-run variations, and band spec-
trum regressions on the relation between unemployment, GDP, invest-
ment, long-term interest rate and TFP, covering ten countries 1913-2016.
This methodology has several advantages compared to standard econo-
metrical methods and other tools for decomposition. Our results show
that unemployment correlates negatively with the long-run components
of investment. This suggests that aggregate demand and capital formation
inuence long-term labor market outcomes. According to our estimates
ca 17-percent of overall variations in unemployment and 29 percent of
the long-run variations may be explained by long-run variations in capital
formation. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/c32ea6fa-7b88-4a5e-bc3a-feffaf2f687c
- author
- Hegelund, Erik LU and Taalbi, Josef LU
- organization
- publishing date
- 2019
- type
- Working paper/Preprint
- publication status
- published
- subject
- in
- Lund Papers in Economic History. Education and the Labour Market
- issue
- 2019:203
- pages
- 25 pages
- language
- English
- LU publication?
- yes
- id
- c32ea6fa-7b88-4a5e-bc3a-feffaf2f687c
- date added to LUP
- 2019-04-10 09:22:37
- date last changed
- 2019-04-10 09:22:37
@misc{c32ea6fa-7b88-4a5e-bc3a-feffaf2f687c, abstract = {{This paper presents an empirical analysis of the relation between un-<br/>employment and macroeconomic performance. A strong correlation has<br/>been pointed out before, but a crucial question is over what time-horizon<br/>this holds. To the best of our knowledge, no previous cross-country study<br/>has shown that there is a long-run relationship between unemployment<br/>and macroeconomic performance over a time-period that stretches before<br/>the 1960s. To address this issue, we use wavelet analysis to decompose the<br/>time series into short, medium and long-run variations, and band spec-<br/>trum regressions on the relation between unemployment, GDP, invest-<br/>ment, long-term interest rate and TFP, covering ten countries 1913-2016.<br/>This methodology has several advantages compared to standard econo-<br/>metrical methods and other tools for decomposition. Our results show<br/>that unemployment correlates negatively with the long-run components<br/>of investment. This suggests that aggregate demand and capital formation<br/>inuence long-term labor market outcomes. According to our estimates<br/>ca 17-percent of overall variations in unemployment and 29 percent of<br/>the long-run variations may be explained by long-run variations in capital<br/>formation.}}, author = {{Hegelund, Erik and Taalbi, Josef}}, language = {{eng}}, note = {{Working Paper}}, number = {{2019:203}}, series = {{Lund Papers in Economic History. Education and the Labour Market}}, title = {{What determines unemployment in the long run? : Band spectrum regression on ten countries, 1913-2016}}, url = {{https://lup.lub.lu.se/search/files/62880512/LUPEH_203.pdf}}, year = {{2019}}, }