Modelling Okun’s law
Does non-Gaussianity matter
Bibliographic Data
| ID | 21541592 |
|---|---|
| Authors | Tamas Kiss (0000-0002-7572-6426, Örebro University, corresponding author), Hoang Nguyen (0009-0009-4941-4486, Örebro University), Pär Österholm (0000-0002-4840-7649, National Institute of Economic Research) |
| Year | 2023 |
| Volume | 64 |
| Issue | 5 |
| Pages | 2183-2213 |
| Publication date | 2023-05-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Empirical Economics (JOURNAL) |
| Journal identifiers | ISSN: 0377-7332 • E-ISSN: 1435-8921 |
| Publisher | Springer Science and Business Media LLC (PUBLISHER) |
| DOI | 10.1007/s00181-022-02309-2 |
| OpenAlex | W4297347513 |
| Language | EN |
| Citations received | 1 |
| References cited | 43 |
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
Bayesian probability · Bayesian vector autoregression · Econometrics · Economics · Gaussian · Kurtosis · Macroeconomics · Non-Gaussianity · Okun's law · Physics · Skewness · Statistics · Stochastic volatility · Unemployment · Unemployment rate · Fiscal Policy and Economic Growth · Mathematics · Monetary Policy and Economic Impact · Unemployment and Economic Growth
Stochastic Volatility
Large Bayesian vector auto regressions
Drifts and volatilities
Time Varying Structural Vector Autoregressions and Monetary Policy
On Gibbs sampling for state space models
Bayes Factors
Estimating the Dimension of a Model
Large Bayesian VARs
Adaptive Shrinkage in Bayesian Vector Autoregressive Models
Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
Comparing Predictive Accuracy
Bayesian Estimates for Vector Autoregressive Models
Are Economic Time Series Asymmetric over the Business Cycle
| Citations per year | 0.5 |
|---|---|
| Citation span | 2024 - 2024 (1) |
| Highly cited | No |