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2000-11-01Buch DOI: 10.18452/3594
Unemployment and Input Prices: A Fractional Cointegration Approach
dc.contributor.authorCaporale, Guglielmo Maria
dc.contributor.authorGil-Alaña, Luis A.
dc.date.accessioned2017-06-15T21:30:02Z
dc.date.available2017-06-15T21:30:02Z
dc.date.created2005-10-13
dc.date.issued2000-11-01
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4246
dc.description.abstractThis paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration techniques which allow for the possibility that unemployment is highly persistent. In line with other studies, we find that all three variables are I(1). But we only find cointegration in the presence of autocorrelated disturbances, which means that the relationship between these variables also has a dynamic component. Furthermore, there is evidence of fractional (as opposed to classical cointegration, which implies long memory and slow reversion to equilibrium. This suggests that an equilibrium model with highly persistent shocks might be adequate to account for the observed behaviour of unemployment.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectUnemploymenteng
dc.subjectInput Priceseng
dc.subjectLong Memoryeng
dc.subjectFractional Integrationeng
dc.subjectFractional Cointegrationeng
dc.subject.ddc330 Wirtschaft
dc.titleUnemployment and Input Prices: A Fractional Cointegration Approach
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10050122
dc.identifier.doihttp://dx.doi.org/10.18452/3594
local.edoc.pages13
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2001
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber2001,56

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