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Hysteresis and Nairu in the Euro Area

Author

Listed:
  • Camille Logeay

    (IMK at the Hans Boeckler Foundation)

  • Silke Tober

    (IMK at the Hans Boeckler Foundation)

Abstract

This paper analyses the Nairu in the Euro Area and the influence that hysteresis had on its development. Using the Kalman-filter technique we find that the Nairu has varied considerably since the early seventies. The Kalman-filter technique is applied here using explicit exogenous variables. In order to test for hysteresis, the dependence of the Nairu on actual unemployment and long-term unemployment is estimated and found to be significant for the Euro Area and Germany respectively. The existence of hysteresis effects implies the possibility of a long-run non-superneutrality of monetary policy.

Suggested Citation

  • Camille Logeay & Silke Tober, 2005. "Hysteresis and Nairu in the Euro Area," IMK Working Paper 04-2005, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    • Handle: RePEc:imk:wpaper:04-2005
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Nairu; hysteresis; Kalman Filter; Phillips curve; superneutrality;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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