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Title:Persistence and cycles in US hours worked PDF Logo
Authors:Caporale, Guglielmo Maria
Gil-Alana, Luis A.
Issue Date:2012
Series/Report no.:CESifo working paper: Fiscal Policy, Macroeconomics and Growth 3767
Abstract:This paper analyses monthly hours worked in the US over the sample period 1939m1 - 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterised by autocorrelations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is unbounded at a non-zero frequency. The reason for choosing this specification is that the periodogram of the hours worked series has a peak at a frequency away from zero. The empirical results confirm that this model works extremely well for hours worked, and it is then employed to analyse their relationship with technology shocks. It is found that hours worked increase on impact in response to a technology shock (though the effect dies away rapidly), consistently with Real Business Cycle (RBC) models.
Subjects:hours worked
fractional integration
cycles
technology shocks
JEL:C32
E24
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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