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Title:Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis PDF Logo
Authors:Marczak, Martyna
Gómez, Víctor
Issue Date:2012
Series/Report no.:FZID Discussion Papers 50-2012
Abstract:This article provides new insights into the cyclical behavior of consumer and producer real wages in the USA and Germany. We apply two methods for the estimation of the cyclical components from the data: the approach based on the structural time series models and the ARIMA-model-based approach combined with the canonical decomposition and a band-pass filter. We examine the extracted cycles drawing on two wavelet concepts: wavelet coherence and wavelet phase angle. In contrast to the analysis in the time or frequency domains, wavelet analysis allows for the identification of possible changes in cyclical patterns over time. From the findings of our study, we can infer that the USA and Germany differ with respect to the lead-lag relationship of real wages and the business cycle. In the USA, both real wages are leading the business cycle in the entire time interval. The German consumer real wage is, on the other hand, lagging the business cycle. For the German producer real wage, the lead-lag pattern changes over time. We also find that real wages in the USA as well in Germany are procyclical or acyclical until 1980 and countercyclical thereafter.
Subjects:real wages
business cycle
wavelet analysis
wavelet phase angle
trend-cycle decomposition
structural time series model
ARIMA-model-based approach
band-pass filter
JEL:E32
C22
C32
J30
Persistent Identifier of the first edition:urn:nbn:de:bsz:100-opus-7267
Document Type:Working Paper
Appears in Collections:FZID Discussion Papers, Universität Hohenheim

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