How credible are Okun coefficients? The gap version of Okun?s law for G7 economies
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F44555601%3A13440%2F23%3A43897926" target="_blank" >RIV/44555601:13440/23:43897926 - isvavai.cz</a>
Výsledek na webu
<a href="https://link.springer.com/article/10.1007/s10644-022-09438-9" target="_blank" >https://link.springer.com/article/10.1007/s10644-022-09438-9</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10644-022-09438-9" target="_blank" >10.1007/s10644-022-09438-9</a>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
How credible are Okun coefficients? The gap version of Okun?s law for G7 economies
Popis výsledku v původním jazyce
The paper draws attention to the fact that findings that follow from estimation of Okun's law are extremely sensitive to methodological choices. The argument rests in a case study oriented upon G7 countries for a period 1991/Q1-2021/Q4 and accounts for a possible asymmetry in the output-unemployment relationship. First, business and unemployment fluctuations are estimated by six purely statistical approaches that arise by casting the Hodrick-Prescott filter, the Hamilton filter and the unobserved component model into a univariate or bivariate framework. Second, the gap version of Okun's law is modelled by means of an auto-regressive distributed lag model or its nonlinear threshold counterpart according as asymmetry is allowed or not. The results indicate huge heterogeneity in Okun coefficients for every country caused by differences even in the basal methodological aspects accounted for in the case study. The diversity of results demonstrates that initial modelling choices may provide economic policy-makers with conflicting insights and advice. This issue follows merely from the absence of general standards that might decide which particular result is more credible.
Název v anglickém jazyce
How credible are Okun coefficients? The gap version of Okun?s law for G7 economies
Popis výsledku anglicky
The paper draws attention to the fact that findings that follow from estimation of Okun's law are extremely sensitive to methodological choices. The argument rests in a case study oriented upon G7 countries for a period 1991/Q1-2021/Q4 and accounts for a possible asymmetry in the output-unemployment relationship. First, business and unemployment fluctuations are estimated by six purely statistical approaches that arise by casting the Hodrick-Prescott filter, the Hamilton filter and the unobserved component model into a univariate or bivariate framework. Second, the gap version of Okun's law is modelled by means of an auto-regressive distributed lag model or its nonlinear threshold counterpart according as asymmetry is allowed or not. The results indicate huge heterogeneity in Okun coefficients for every country caused by differences even in the basal methodological aspects accounted for in the case study. The diversity of results demonstrates that initial modelling choices may provide economic policy-makers with conflicting insights and advice. This issue follows merely from the absence of general standards that might decide which particular result is more credible.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
10103 - Statistics and probability
Návaznosti výsledku
Projekt
—
Návaznosti
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Ostatní
Rok uplatnění
2023
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Economic Change and Restructuring
ISSN
1573-9414
e-ISSN
1574-0277
Svazek periodika
56
Číslo periodika v rámci svazku
3
Stát vydavatele periodika
US - Spojené státy americké
Počet stran výsledku
48
Strana od-do
1467-1514
Kód UT WoS článku
000911276600001
EID výsledku v databázi Scopus
2-s2.0-85145934727