Time-Frequency Varying Estimation of Okun’s Law in the European Union: A Wavelet-Based Approach

Engineering Proceedings

article

Roman Mestre¹ 

[1] Montpellier Recherche en Économie ,(MRE), University of Montpellier

关键词: Okun’s Law;    time-frequency estimator;    wavelets transform;    unemployment;    growth;   

DOI  :  10.3390/engproc2023039009

来源: mdpi

【 摘 要 】

In this paper, we use the time-frequency wavelet estimators to analyze the robustness of Okun’s Law in the European Union across time and within various economic cycles. We extend the Okun’s Law literature as we focus on Europe, directly estimating the time-frequency varying Okun’s coefficient. We observe that Okun’s coefficient in Europe is unstable at short run (infra and annual cycles). The strength of Okun’s Law is time dependent at short run as linkages between growth and unemployment are stronger only during crisis times. Such instability is explained as unemployment predominates growth, leading to a positive coefficient and weaker strength. However, as the frequencies increase, the coefficient is more stable over time and the strength is higher and homogenous over time.

【 授权许可】

Unknown