Hysteresis and the Nairu in the Euro Area

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract This paper analyses the Nairu in the Euro Area and the influence that hysteresis had on its development. Using the Kalman-filter technique we find that the Nairu has varied considerably since the early seventies. The Kalman-filter technique is applied here using explicit exogenous variables. In order to test for hysteresis, the dependence of the Nairu on actual unemployment and long-term unemployment is estimated and found to be significant for the Euro Area and Germany respectively. The existence of hysteresis effects implies the possibility of a long-run non-superneutrality of monetary policy. Terms of use: Documents in EconStor mayJEL: C32, E32, E52

The dynamics of entrepreneurship: hysteresis, business cycles and government policy

“…These components can be estimated by maximum likelihood using the Kalman filter. Although Jaeger and Parkinson's approach has been applied extensively in the literature on unemployment (see Assarson and Janson, 1998;Karamé, 1999;Salemi, 1999;Di Sanzo and Pérez, 2005;Logeay and Tober, 2005), to the best of our knowledge its application to entrepreneurship is novel.…”

(De-)Stabilizing two-country macroeconomic interactions in an estimated model of the U.S. and the Euro Area

“…In Fig. 2 the proxy for the Euro Area NAIRU calculated by the just described method is compared with the Kalman Filter estimates of the same variable obtained by Logeay and Tober (2006). As it can observed, the proxy time series used for this paper describes a remarkable similarity with the Kalman Filter NAIRU of the mentioned study, despite of the simplicity of its calculation.…”

“…Since a proper estimation of the Euro Area NAIRU would be out of the scope of this paper, this time series is approximated here in Logeay and Tober (2006) as the point of reference, this series is proxied by an HP trend by the proper choice of the smoothing factor λ. The difference between the actual aggregate unemployment rate u and the NAIRU (or our proxy time series) can be then interpreted as a proxy for the short-term unemployment rate, denotedũ st , which is the relevant variable in the wage bargaining process.…”

Money Wage Rigidity, Monopoly Power and Hysteresis

“…For instance, León-Ledesma (2002) finds strong support for this hypothesis for the EU countries. Likewise, Logeay and Tober (2006) find strong support for the existence of hysteresis in the Euro Area.…”