Stochastic shifts in the natural rate of unemployment: evidence from Greece

The paper aims at estimating the natural rate of unemployment in Greece. The methodology adopted follows that of Hamilton. It is assumed that the rate of unemployment follows a stochastic process with periodic shifts in the mean and variance. The natural rate is then estimated using a Markov switchi...

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Bibliographic Details
Published inApplied economics letters Vol. 7; no. 4; pp. 239 - 242
Main Author Katsimi, Margarita
Format Journal Article
LanguageEnglish
Published Taylor & Francis Group 01.04.2000
Taylor and Francis Journals
SeriesApplied Economics Letters
Subjects
Applied economics
Economic methodology
Greece
Markovian processes
NAIRU
Stochastic processes
Unemployment
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Summary:The paper aims at estimating the natural rate of unemployment in Greece. The methodology adopted follows that of Hamilton. It is assumed that the rate of unemployment follows a stochastic process with periodic shifts in the mean and variance. The natural rate is then estimated using a Markov switching process. Empirical evidence is found that the Greek economy switches over time between two regimes: a regime in which the natural rate and the variance of the rate of unemployment are low (the 1970s); and a regime in which both the natural rate and the variance of the rate of unemployment are high (the 1960s, 1980s and 1990s).
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:1350-4851
1466-4291
DOI:10.1080/135048500351582