Smooth-Time-Varying Okun's Coefficients

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题名:	Smooth-Time-Varying Okun's Coefficients
作者:	黃河泉;Huang, Ho-chuan;林淑琴;Lin, Shu-chin
贡献者:	淡江大學財務金融學系;淡江大學經濟學系
关键词:	Okun's law;Smooth-time-varying parameter;Productivity;Bayesian approach
日期:	2008-03
上传时间:	2011-10-24 10:33:21 (UTC+8)
出版者:	Amsterdam: Elsevier BV * North-Holland
摘要:	Motivated by a simple theoretical model, this paper proposes a novel smooth-time-varying-parameter approach for estimating Okun's coefficients using U.S. quarterly data from 1948:Q1 to 2006:Q1. Despite Okun's coefficients depend on 'time' in an unknown (nonparametric) but smooth way, it can be estimated via the Bayesian approach, i.e., the Gibbs sampler, by treating the nonparametric line as additional unknown parameters to be estimated along with other model parameters. Empirical results show that there is overwhelming evidence in favor of smooth-time-varying Okun's law which is closely and positively (with lags) related to productivity trend. It also indicates that the commonly-used fixed-coefficient specification for characterizing Okun's law can lead to inappropriate, if not incorrect, results. (C) 2007 Elsevier B.V. All rights reserved.
關聯:	Economic Modelling 25(2), pp.363-375
DOI:	10.1016/j.econmod.2007.06.009
显示于类别:	[經濟學系暨研究所] 期刊論文 [財務金融學系暨研究所] 期刊論文

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