Is There A Stable Long-run Relationship Between Unemployment And Productivity? / Czy Istnieje Stabilny Długookresowy Związek Między Bezrobociem A Produktywnością?

• Authors: João Tovar Jalles
• Languages of publication: EN

Abstracts

EN

This paper assesses whether productivity and unemployment have a stable long-run relationship. We explore a panel of 19 OECD countries between 1970 and 2012 and rely on recently developed time series econometric methods. Our findings suggest that unemployment and productivity are non-stationary in levels and in many individual cases these series are cointegrated, even after accounting for possible structural breaks. For many individual countries the long-run effect seems to be generally positive. There is also evidence of two-way causality, but the stronger directional relationship runs from unemployment to productivity.

PL

Artykuł jest próbą ustalenia czy istnieje stabilny długookresowy związek między produktywnością a bezrobociem, Badania obejmują dane dotyczące 19 państw OECD, pochodzące z lat 1970-2012 i są oparte o najnowsze ekonometryczne metody analizy szeregów czasowych. Wyniki badań wskazują, że poziomy bezrobocia i produktywności cechują się niestacjonarnością a w licznych indywidualnych przypadkach szeregi te są skointegrowane, nawet po uwzględnieniu możliwych załamań strukturalnych. W przypadku wielu indywidualnych państw efekty długoterminowe wydają się być generalnie pozytywne. Istnieją również dowody występowania przyczynowości dwukierunkowej, ale silniejszy ukierunkowany związek zachodzi między bezrobociem a produktywnością.

Keywords

EN

stationarity; structural breaks; cointegration; DOLS; Granger causality

PL

stacjonarność; załamania strukturalne; kointegracja; DOLS; przyczynowość w sensie Grangera

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Comparative Economic Research. Central and Eastern Europe
• Year: 2015
• Volume: 18
• Issue: 2
• Pages: 57-75

Dates

published

2015-06-01

online

2015-06-16

Contributors

author

João Tovar Jalles

• Center for Globalization and Governance, Nova School of Business and Economics, Portugal

References

• Barnichon, R. (2010), Productivity and Unemployment over the Business Cycle, ʻJournal of Monetary Economicsʼ, 57(8), 1013-1025.
• Bean, C. and Pissarides, C. (1993), Unemployment, consumption and growth, ʻEuropean Economic Reviewʼ, 37, 837-64.
• Beaudreau, B. C. (1998), Energy and organization: Growth and distribution re-examined, Contributions in economics and economic history. Wesport, Conn. and London: Greenwood Press.
• Bowman, P. J. (1991), Work life, [in:] J. S. Jackson (Ed.), Life in black America (pp. 124-155). Newbury Park, CA: Sage.
• Brauninger, M. and Pannenber, M. (2002), Unemployment and Productivity Growth: An Empirical Analysis within the Augmented Solow model, ʻEconomic Modellingʼ, 19, 105-120.
• Caballero, R. (1993), Comment on Bean and Pissarides, ʻEuropean Economic Reviewʼ, 37, 855-59.
• Caballero, R. and Hammour, M. (1994), The cleansing effect of recession, ʻAmerican Economic Reviewʼ, 84, 1075-84.
• Clemente, J., Montañés, A., and Reyes, M. (1998), Testing for a unit root in variables with a double change in the mean, ʻEconomics Lettersʼ, 59, pp.175-182.
• Dolato, J., Lutkepohl, H. (1996), Making Wald test work for cointegrated VAR systems, ʻEconometrics Reviewʼ, 15, 369-386.
• Dolmas, J., Raj, B., and Slottje, D. (1999), The U.S. productivity slowdown: A peak through the structural break window, ʻEconomic Inquiryʼ, 37, 226-241.
• Fichtembaum, R. (1989), The productivity slowdown and the underground economy, ʻQuarterly Journal of Business and Economicsʼ, 28, 78-90.
• Fisher, S. (1988), Symposium on the slowdown in productivity growth, ʻJournal of Economic Perspectivesʼ, 2, 3-7.
• Gali, J. (1999), Technology, employment and the business cycle: do technology shocks explain aggregate fluctuations?, ʻAmerican Economic Reviewʼ, 89 (1), 249-271.
• Gali, J., Gambetti, L. (2009), On the sources of the great moderation, ʻAmerican Economic Journal: Macroeconomicsʼ, 1(1), 26-57.
• Gordon, R. J. (1996), Problems in the measurement and performance of service-sector productivity in the United States, NBER working paper no. 5519.
• Granger, C. (1969), Investigating causal relations by econometric models and cross-spectral methods, ʻEconometricaʼ, 37, 424-38.
• Gregory, A. W., and B. E. Hansen, (1996), Residual-based tests for cointegration in models with regime shifts, ʻJournal of Econometricsʼ, 70(1).
• Griliches, Z. (1988), Productivity puzzles and R&D: Another non-explanation, ʻJournal of Economic Perspectivesʼ, 2, 9-22.
• Griliches Z. (1994), Productivity, R&D and the data constraint, Presidential address at the one-hundred sixth meeting of the American Economic Association. American Economic Review, 84, 1-23.
• Hansen H. and Johansen S. (1993), Recursive Estimation in Cointegrated VAR-Models, Mimeo. Institute of Mathematical Statistics, University of Copenhagen.
• Holly S., Petrella. I. (2008), Factor demand linkages and the business cycle: interpreting aggregate fluctuations as sectoral fluctuations, Working Paper.
• Johansen S. and Juselius K. (1990), Maximum Likelihood Estimation and Inference on Cointegration - with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics 52, 169-210.
• King R. G. and Rebelo S. (1988), Business cycles with endogenous growth, mimeo, University of Rochester.
• Muscatelli, V. And Tirelli, P. (2001), Unemployment and growth: some empirical evidence from structural time series models, ʻApplied Economicsʼ, 33, 1083-1088.
• Ng S., and Perron P. (2001). Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power,ʻ Econometricaʼ, 69, 1519-1554.
• Perron P. (1989), The great crash, the oil price shock, and the unit root hypothesis, ʻEconometricaʼ, 57, 1361-1401.
• Perron P., and T. Yabu (2009), Tests for shifts in trend with an integrated or stationary noise component, ʻJournal of Business & Economic Statisticsʼ, 27, 369-396.
• Rambaldi A.N. and Doran H. E. (1996), Testing for Granger non-causality in Cointegrated System made easy, ʻWorking Papers in Econometrics and Applied Statisticsʼ, No. 88, Department of Econometrics, University of New England.
• Romer P. M. (1987), Crazy explanations for the productivity slowdown, [in:] Stanley Fisher (Ed.), NBER macroeconomics annual 1987. Cambridge: The MIT Press.
• Saint-Paul G. (1997), Business cycles and long-run growth, CEPR Discussion paper no. 1642.
• Shin Y. (1994), A Residual-based Test of the Null of Cointegration against the Alternative of no Cointegration, ʻEconometric Theoryʼ, 10, 91-115.
• Stadler G. W. (1990), Business cycle models with endogenous technology, ʻAmerican Economic Reviewʼ, 80, 763-78.
• Stiglitz J. (1993), Endogenous growth and cycles, NBER Working Paper no. 4286, April.
• Stock J. and M. Watson, (1993), A simple estimator of cointegrating vectors in higher order integrated systems, ʻEconometricaʼ, 61(4), 783-820.
• Toda H and P. Phillips (1994), Vector autorgression and causality: A theoretical overview and simulation study, ʻEconometric Reviewʼ, 13, 259-85.
• Toda H. and Yamamoto T. (1995), Statistical inference in vector autoregressions with possibly integrated processes, ʻJournal of Econometricsʼ, 66, 225--250.
• Vogelsang T. and Perron P. (1998), Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time, ʻInternational Economic Reviewʼ, 39(4), 1073-1100.[WoS]
• Vogelsang T. (2001), Testing for a Shift in Trend When Serial Correlation is of Unknown Form, Unpublished Manuscript, Department of Economics, Cornell University.
• Walker John F. and Vatter H. (1989), Why has the United States operated below potential since World War II?, ʻJournal of Post Keynesian Economicsʼ, 11(3), 327-346.
• Weisskopt T. E. (1987), The effect of unemployment on labor productivity: an international comparative analysis, ʻInternational Review of Applied Economicsʼ, 1, 127-151.
• Weisskopt T. E., Bowles S. and Gordon D. M. (1983), Hearts and minds: a social model of U.S. productivity growth, ʻBrookings Papers on Economic Activityʼ, 381-441.
• Zivot E. and Andrews D. W. K. (1992), Further Evidence on the Great Crash, the Oil-Price Shock and the Unit Root Hypothesis, ʻJournal of Business and Economic Statisticsʼ, 10, 251-270.

Identifiers

DOI

10.1515/cer-2015-0012