The non-linear dynamics of output and unemployment in the U.S
This paper studies the joint dynamics of U.S. output and unemployment rate in a non-linear VAR model. The non-linearity is introduced through a feedback variable that endogenously augments the output lags of the VAR in recessionary phases. Sufficient conditions for the ergodicity of the model, poten...
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| Veröffentlicht in: | Journal of applied econometrics (Chichester, England) England), 2001-07, Vol.16 (4), p.461-486 |
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| container_title | Journal of applied econometrics (Chichester, England) |
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| creator | Altissimo, Filippo Violante, Giovanni L. |
| description | This paper studies the joint dynamics of U.S. output and unemployment rate in a non-linear VAR model. The non-linearity is introduced through a feedback variable that endogenously augments the output lags of the VAR in recessionary phases. Sufficient conditions for the ergodicity of the model, potentially applying to a larger class of threshold models, are provided. The linear specification is rejected in favour of our threshold VAR. However, in the estimation the feedback is found to be statistically significant only on unemployment, while it transmits to output through its cross-correlation. This feedback effect from recessions generates important asymmetries in the propagation of shocks, a possible key to interpret the divergence in the measures of persistence in the literature. The regime-dependent persistence also explains the finding that the feedback from recession exerts a positive effect on the long-run growth rate of the economy, an empirical validation of the Schumpeterian macroeconomic theories. |
| doi_str_mv | 10.1002/jae.599 |
| format | Article |
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The non-linearity is introduced through a feedback variable that endogenously augments the output lags of the VAR in recessionary phases. Sufficient conditions for the ergodicity of the model, potentially applying to a larger class of threshold models, are provided. The linear specification is rejected in favour of our threshold VAR. However, in the estimation the feedback is found to be statistically significant only on unemployment, while it transmits to output through its cross-correlation. This feedback effect from recessions generates important asymmetries in the propagation of shocks, a possible key to interpret the divergence in the measures of persistence in the literature. 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Appl. Econ</addtitle><description>This paper studies the joint dynamics of U.S. output and unemployment rate in a non-linear VAR model. The non-linearity is introduced through a feedback variable that endogenously augments the output lags of the VAR in recessionary phases. Sufficient conditions for the ergodicity of the model, potentially applying to a larger class of threshold models, are provided. The linear specification is rejected in favour of our threshold VAR. However, in the estimation the feedback is found to be statistically significant only on unemployment, while it transmits to output through its cross-correlation. This feedback effect from recessions generates important asymmetries in the propagation of shocks, a possible key to interpret the divergence in the measures of persistence in the literature. The regime-dependent persistence also explains the finding that the feedback from recession exerts a positive effect on the long-run growth rate of the economy, an empirical validation of the Schumpeterian macroeconomic theories.</description><subject>Correlation</subject><subject>Econometrics</subject><subject>Economic conditions</subject><subject>Economic fluctuations</subject><subject>Economic growth</subject><subject>Economic models</subject><subject>Economic recessions</subject><subject>Ergodic theory</subject><subject>Food economics</subject><subject>Growth rate</subject><subject>Growth rates</subject><subject>Growth recessions</subject><subject>Macroeconomics</subject><subject>Modeling</subject><subject>Non-linear models</subject><subject>Output</subject><subject>Propagation</subject><subject>Recession</subject><subject>Recessions</subject><subject>Studies</subject><subject>U.S.A</subject><subject>Unemployment</subject><subject>Unemployment rates</subject><subject>Vector autoregression</subject><issn>0883-7252</issn><issn>1099-1255</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2001</creationdate><recordtype>article</recordtype><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>AZQEC</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><sourceid>GNUQQ</sourceid><recordid>eNp10E9LwzAYBvAgCs4pfgEPxYMepDN_2iQ9eJhjbo6hoJseQ9Ym2NkmM2nRfXsjlR0ET4H3-b0v4QHgFMEBghBfr6UapFm2B3oIZlmMcJrugx7knMQMp_gQHHm_hhBSCFkP3CzeVGSsiavSKOmiYmtkXeY-sjqybbNpm0iaImqNqjeV3dbKNFFpoiZsLQfPx-BAy8qrk9-3D5Z348VoGs8fJ_ej4TzOE8KzONE0V1xrxAhPaIZxRlerHGVJrhnNNYKaJopBraHkqzApVIFpQTlKkCYEY9IHF93djbMfrfKNqEufq6qSRtnWC8Ixg4zSAM__wLVtnQl_ExhxlqKUoIAuO5Q7671TWmxcWUu3FQiKnw5F6FCEDoO86uRnWantf0zMhuNOn3V67RvrdhpTxlMGQxx3cekb9bWLpXsXlBGWiteHiZglixc-vcXiiXwD0QmIiw</recordid><startdate>200107</startdate><enddate>200107</enddate><creator>Altissimo, Filippo</creator><creator>Violante, Giovanni L.</creator><general>John Wiley & Sons, Ltd</general><general>John Wiley & Sons</general><general>Wiley Periodicals Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>0U~</scope><scope>1-H</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>8BJ</scope><scope>8FE</scope><scope>8FG</scope><scope>8FK</scope><scope>8FL</scope><scope>ABJCF</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>ARAPS</scope><scope>AZQEC</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>BGLVJ</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FQK</scope><scope>FRNLG</scope><scope>F~G</scope><scope>GNUQQ</scope><scope>HCIFZ</scope><scope>JBE</scope><scope>JQ2</scope><scope>K60</scope><scope>K6~</scope><scope>K7-</scope><scope>L.-</scope><scope>L.0</scope><scope>L6V</scope><scope>M0C</scope><scope>M7S</scope><scope>P5Z</scope><scope>P62</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PRINS</scope><scope>PTHSS</scope><scope>PYYUZ</scope><scope>Q9U</scope></search><sort><creationdate>200107</creationdate><title>The non-linear dynamics of output and unemployment in the U.S</title><author>Altissimo, Filippo ; Violante, Giovanni L.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c4389-4f6ce8ff17384692296bbc194cf76cf10f64e70ff0a8b76cded26d68141f33223</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2001</creationdate><topic>Correlation</topic><topic>Econometrics</topic><topic>Economic conditions</topic><topic>Economic fluctuations</topic><topic>Economic growth</topic><topic>Economic models</topic><topic>Economic recessions</topic><topic>Ergodic theory</topic><topic>Food economics</topic><topic>Growth rate</topic><topic>Growth rates</topic><topic>Growth recessions</topic><topic>Macroeconomics</topic><topic>Modeling</topic><topic>Non-linear models</topic><topic>Output</topic><topic>Propagation</topic><topic>Recession</topic><topic>Recessions</topic><topic>Studies</topic><topic>U.S.A</topic><topic>Unemployment</topic><topic>Unemployment rates</topic><topic>Vector autoregression</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Altissimo, Filippo</creatorcontrib><creatorcontrib>Violante, Giovanni L.</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>Global News & ABI/Inform Professional</collection><collection>Trade PRO</collection><collection>ProQuest Central (Corporate)</collection><collection>ABI/INFORM Collection</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Global (Alumni Edition)</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>ProQuest SciTech Collection</collection><collection>ProQuest Technology Collection</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>Materials Science & Engineering Collection</collection><collection>ProQuest Central (Alumni Edition)</collection><collection>ProQuest Central UK/Ireland</collection><collection>Advanced Technologies & Aerospace Collection</collection><collection>ProQuest Central Essentials</collection><collection>ProQuest Central</collection><collection>Business Premium Collection</collection><collection>Technology Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central Korea</collection><collection>International Bibliography of the Social Sciences</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>ProQuest Central Student</collection><collection>SciTech Premium Collection</collection><collection>International Bibliography of the Social Sciences</collection><collection>ProQuest Computer Science Collection</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>Computer Science Database</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM Professional Standard</collection><collection>ProQuest Engineering Collection</collection><collection>ABI/INFORM Global</collection><collection>Engineering Database</collection><collection>Advanced Technologies & Aerospace Database</collection><collection>ProQuest Advanced Technologies & Aerospace Collection</collection><collection>ProQuest One Business</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central China</collection><collection>Engineering Collection</collection><collection>ABI/INFORM Collection China</collection><collection>ProQuest Central Basic</collection><jtitle>Journal of applied econometrics (Chichester, England)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Altissimo, Filippo</au><au>Violante, Giovanni L.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>The non-linear dynamics of output and unemployment in the U.S</atitle><jtitle>Journal of applied econometrics (Chichester, England)</jtitle><addtitle>J. Appl. Econ</addtitle><date>2001-07</date><risdate>2001</risdate><volume>16</volume><issue>4</issue><spage>461</spage><epage>486</epage><pages>461-486</pages><issn>0883-7252</issn><eissn>1099-1255</eissn><coden>JAECET</coden><abstract>This paper studies the joint dynamics of U.S. output and unemployment rate in a non-linear VAR model. The non-linearity is introduced through a feedback variable that endogenously augments the output lags of the VAR in recessionary phases. Sufficient conditions for the ergodicity of the model, potentially applying to a larger class of threshold models, are provided. The linear specification is rejected in favour of our threshold VAR. However, in the estimation the feedback is found to be statistically significant only on unemployment, while it transmits to output through its cross-correlation. This feedback effect from recessions generates important asymmetries in the propagation of shocks, a possible key to interpret the divergence in the measures of persistence in the literature. The regime-dependent persistence also explains the finding that the feedback from recession exerts a positive effect on the long-run growth rate of the economy, an empirical validation of the Schumpeterian macroeconomic theories.</abstract><cop>Chichester, UK</cop><pub>John Wiley & Sons, Ltd</pub><doi>10.1002/jae.599</doi><tpages>26</tpages></addata></record> |
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| subjects | Correlation Econometrics Economic conditions Economic fluctuations Economic growth Economic models Economic recessions Ergodic theory Food economics Growth rate Growth rates Growth recessions Macroeconomics Modeling Non-linear models Output Propagation Recession Recessions Studies U.S.A Unemployment Unemployment rates Vector autoregression |
| title | The non-linear dynamics of output and unemployment in the U.S |
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