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Erscheinungsjahr: 
1996
Schriftenreihe/Nr.: 
Reihe Ökonomie / Economics Series No. 33
Verlag: 
Institute for Advanced Studies (IHS), Vienna
Zusammenfassung: 
We propose a bivariate structural time series framework to decompose GDP and the unemployment rate into their trend, cyclical, and irregular components. We implement Okun's law by a generalised version of the common cycles restriction allowing for a phase shift between the two cycles and add a price-wage block to the system. We estimate by maximum likelihood Phillips curve-type equations, where the particular cycles enter the wage and price equations in levels though the trends are modelled as non-stationary stochastic processes. The extended models provide an improved estimate of the current cyclical position, compared to univariate estimates and the HP filter.
Schlagwörter: 
structural time series model
trends and cycles
Phillips Curve
JEL: 
C22
E30
Dokumentart: 
Working Paper

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