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Erscheinungsjahr: 
2022
Schriftenreihe/Nr.: 
CESifo Working Paper No. 10018
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which reflects relatively long lags between inflation and wage adjustments. Endogenous break tests are also carried out and various structural breaks are identified in both series. On the whole the corresponding subsample estimates imply an increase over time in the degree of persistence of both series.
Schlagwörter: 
nominal and real wages
mean reversion
persistence
fractional integration
structural breaks
JEL: 
C12
C13
C22
J30
Dokumentart: 
Working Paper
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