Hysteresis in the development of unemployment: the EU and US experience

• Autores: Christian Dreger, Reimers Hans-Eggert
• Localización: Spanish economic review, ISSN 1435-5469, Vol. 11, Nº 4, 2009, págs. 267-275
• Idioma: inglés
• DOI: 10.1007/s10108-009-9055-0
• Texto completo no disponible (Saber más ...)
• Resumen

  • We examine hysteresis in EU and US unemployment by panel unit root tests. First generation tests indicate that unemployment is stationary. Second generation tests show mixed results. Idiosyncratic components are stationary in the US. A unit root in the US common component depends on the starting point of the sample. While the common component is nonstationary over the whole period, it is mean-reverting after initial observations are dropped. Hysteresis in EU unemployment is attributed to idiosyncratic, but not to common components. The findings might reflect a different regulation of labour markets and a lower degree of migration in the EU.

• Referencias bibliográficas
  • Bai J, Ng S (2002) Determining the number of factors in approximate factor models. Econometrica 70: 191-221.
  • Bai J, Ng S (2004) A PANIC attack on unit roots and cointegration. Econometrica 72: 1127-1177.
  • Banerjee A (1999) Panel data unit roots and cointegration: an overview. Oxf Bull Econ Stat 61: 607-629.
  • Banerjee A, Marcellino M, Osbat C (2004) Some cautious on the use of panel methods for integrated series in macro-economic data. Econom J...
  • Banerjee A, Marcellino M, Osbat C (2005) Testing for PPP: should we use panel methods. Emp Econ 30: 77-91.
  • Barro R (1986) The persistence of unemployment. American Economic Review, Papers and proceedings, pp 32-37.
  • Blanchard O (2005) European unemployment: the evolution of facts and ideas. NBER working paper series 11750.
  • Blanchard O, Summers J (1986) Hysteresis and the European unemployment problem. NBER macroeconomic annual, Cambridge, pp 15-90.
  • Camarero M, Tamarit C (2004) Hysteresis vs. natural rate of unemployment: new evidence for OECD countries. Econ Lett 84: 413-417.
  • Campbell JY, Perron P (1991) Pitfalls and opportunities. What macroeconomists should know about unit roots. NBER technical working paper 0100.
  • Choi I (2001) Unit root tests for panel data. J Int Money Financ 20: 249-272.
  • Franz W (2005) Will the (German) NAIRU please stand up. German Econ Rev 6: 131-153.
  • Gengenbach C, Palm FC, Urbain J-P (2004) Panel unit root tests in the presence of cross-sectional dependencies: comparisons and implications...
  • Giannone D, Reichlin L (2006) Trends and Cycles in the euro area. How much heterogeneity and should we worry about it? European Central Bank...
  • Hsiao C (1986) Analysis of panel data. Cambridge University Press, Cambridge.
  • Huber P (2004) Inter-regional mobility in Europe. A note on the cross-country evidence. WIFO Österreichisches Institut für Wirtschaftsforschung,...
  • Hurlin C (2004) Nelson and Plosser revisited: a re-examination using OECD panel data. University of Orléans, France.
  • Im KS, Pesaran MH, Shin Y (2003) Testing for unit roots in heterogeneous panels. J Econom 115: 53-74.
  • Jang MJ, Shin DW (2005) Comparison of panel unit root tests under cross sectional dependence. Econ Lett 89: 12-17.
  • Layard R, Nickell S, Jackman R (1991) Unemployment-Macroeconomic performance and the labour market. Oxford University Press, London.
  • León-Ledesma MA (2002) Unemployment hysteresis in the US states and the EU: a panel approach. Bull Econ Res 54: 95-103.
  • León-Ledesma MA, McAdam P (2004) Unemployment, hysteresis and transition. Scott J Polit Econ 51: 277-301.
  • Levin A, Lin C-F, Chu C-S (2002) Unit root tests in panel data: asymptotic and finite sample properties. J Econom 108: 1-24.
  • Llaudes R (2005) The Phillips curve and long-term unemployment. European Central Bank working paper 441, Frankfurt/Main.
  • Lyhagen J (2000) Why not use standard panel unit root tests for testing PPP. Working paper economics and finance 413, Stockholm School of...
  • Mitchell WF (1993) Testing for unit roots and persistence in OECD unemployment rates. Appl Econ 25: 1489-1501.
  • Moon HR, Perron B (2004) Testing for a unit root in panels with dynamic factors. J Econom 122: 81-126.
  • Newey W, West KD (1994) Automatic lag selection for covariance matrix estimation. Rev Econ Stud 61: 631-653.
  • Nickell S, Nunziata L, Ochel W (2005) Unemployment in the OECD since the 1960s: what do we know. Econ J 115: 1-27.
  • Ochel W (2005) Concepts and measurement of labour market institutions. J Inst Comp 3: 40-55.
  • O'Connell PGJ (1998) The overvaluation of purchasing power parity. J Int Econ 44: 1-19.
  • Pesaran MH (2003) A simple panel unit root test in the presence of cross section dependence. Cambridge University, Cambridge.
  • Roberts JM, Morin NJ (1999) Is hysteresis important for U.S. unemployment? Finance and economics discussion series 1999-56, Board of Governors...
  • Sarno L, Taylor MP (1998) Real exchange rates under the recent float: unequivocal evidence of mean reversion. Econ Lett 60: 131-137.
  • Song FM, Wu Y (1997) Hysteresis in unemployment. Evidence from 48 US states. Econ Inq 35: 235-243.
  • Smith R, Zoega G (2004) Global shocks and unemployment adjustment. Central Bank of Iceland, working paper 24.
  • Smyth R (2003) Unemployment hysteresis in Australian states and territories: evidence from panel data unit root tests. Aust Econ Rev 36: 181-192.