Cyclical unemployment: sectoral shifts or aggregate disturbances? A vector autoregression approach
Titel:
Cyclical unemployment: sectoral shifts or aggregate disturbances? A vector autoregression approach
Auteur:
Caporale, Tony Doroodian, K. Abeyratne, M. R. M.
Verschenen in:
Applied economics letters
Paginering:
Jaargang 3 (1996) nr. 2 pagina's 127-130
Jaar:
1996-02-01
Inhoud:
Using a multivariate vector autoregression (VAR) model, this paper investigates if sectoral shifts, inflation uncertainty, or demand shocks are the primary cause of unemployment fluctuations in the postwar US economy. A sectoral shifts variable (cross-section volatility), an ARCH measure of inflation uncertainty, and three demand shocks variables (monetary base growth rate, interest rates and inflation rates) are incorporated in a VAR model. Our major findings are: cross-section volatility Granger causes unemployment; the sectoral shifts variable and inflation uncertainty explain a small amount, while demand shocks variables explain a substantial amount of the variation in unemployment.