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Time Variation in Okun's Law: A Canada and U.S. Comparison

Author

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  • Kimberly Beaton

Abstract

This article investigates the stability of Okun's law for Canada and the United States using a time varying parameter approach. Time variation is modeled as driftless random walks and is estimated using the median unbiased estimator approach developed by Stock and Watson (1998). Okun's law exhibits structural instability in both countries, with the sensitivity of the unemployment rate to movements in output growth increasing recently over time in both Canada and the United States.

Suggested Citation

  • Kimberly Beaton, 2010. "Time Variation in Okun's Law: A Canada and U.S. Comparison," Staff Working Papers 10-7, Bank of Canada.
    • Handle: RePEc:bca:bocawp:10-7
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    File URL: https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp10-7.pdf
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    Citations

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    Cited by:

    1. Mutascu, Mihai & Sokic, Alexandre, 2021. "Okun's law in the US: New insights in time and frequency," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 207-222.
    2. Abdessalem GOUIDER & Ridha NOUIRA & Faouzi SBOUI, 2018. "La relation croissance-chômage en Tunisie : validation de la spécification non linéaire de la loi d’Okun," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 47, pages 27-41.
    3. Adama Zerbo, 2017. "Croissance économique et chômage : les fondements de la loi d'Okun et le modèle IS-LM-LO," Documents de travail 176, Groupe d'Economie du Développement de l'Université Montesquieu Bordeaux IV.
    4. Adama Zerbo, 2018. "A Theorem for Okun's Law," Documents de travail 180, Groupe d'Economie du Développement de l'Université Montesquieu Bordeaux IV.
    5. Brian Tavonga Mazorodze & Noureen Siddiq, 2018. "On the Unemployment Output Relation in South Africa: A Non-Linear ARDL Approach," Journal of Economics and Behavioral Studies, AMH International, vol. 10(5), pages 167-178.
    6. Durech, Richard & Minea, Alexandru & Mustea, Lavinia & Slusna, Lubica, 2014. "Regional evidence on Okun's Law in Czech Republic and Slovakia," Economic Modelling, Elsevier, vol. 42(C), pages 57-65.
    7. Mahmoud Kraim & Tamat Sarmidi & Fathin Faizah & Norlin Khalid, 2023. "A sectoral specification of Okun’s law in oil-producing countries: evidence from panel ARDL model," Economic Change and Restructuring, Springer, vol. 56(4), pages 2385-2404, August.
    8. Neifar, Malika, 2020. "Cyclical Output, Cyclical Unemployment, and augmented Okun's Law in MENA zone," MPRA Paper 98953, University Library of Munich, Germany.
    9. Grant, Angelia L., 2018. "The Great Recession and Okun's law," Economic Modelling, Elsevier, vol. 69(C), pages 291-300.

    More about this item

    Keywords

    Business fluctuations and cycles; Labour markets;

    JEL classification:

    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • J00 - Labor and Demographic Economics - - General - - - General

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