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Modelling Okun's law :
Modelling Okun's law : Does non-Gaussianity matter?
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- Kiss, Tamás, 1988- (författare)
- Örebro universitet,Handelshögskolan vid Örebro Universitet,Division of Economics, School of Business, Örebro University, Sweden
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- Nguyen, Hoang, 1989- (författare)
- Örebro universitet,Handelshögskolan vid Örebro Universitet,Division of Statistics, School of Business, Örebro University, Sweden
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- Österholm, Pär, 1974- (författare)
- Örebro universitet,Handelshögskolan vid Örebro Universitet,Division of Economics, School of Business, Örebro University, Örebro, Sweden; National Institute of Economic Research, Stockholm, Sweden
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(creator_code:org_t)
- 2022-09-27
- 2023
- Engelska.
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Ingår i: Empirical Economics. - : Springer. - 0377-7332 .- 1435-8921. ; 64:5, s. 2183-2213
- Relaterad länk:
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https://doi.org/10.1...
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- In this paper, we analyse Okun's law-a relation between the change in the unemployment rate and GDP growth-using data from Australia, the euro area, the UK and the USA. More specifically, we assess the relevance of non-Gaussianity when modelling the relation. This is done in a Bayesian VAR framework with stochastic volatility where we allow the different models' error distributions to have heavier-than-Gaussian tails and skewness. Our results indicate that accounting for heavy tails yields improvements over a Gaussian specification in some cases, whereas skewness appears less fruitful. In terms of dynamic effects, a shock to GDP growth has robustly negative effects on the change in the unemployment rate in all four economies.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Bayesian VAR
- Heavy tails
- GDP growth
- Unemployment
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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