MEASURING THE NAIRU WITH REDUCED UNCERTAINTY: A MULTIPLE-INDICATOR COMMON-CYCLE APPROACH

• 成果类型: Article
• 署名作者: Basistha, Arabinda; Startz, Richard
• 署名单位: West Virginia University; University of Washington; University of Washington Seattle
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest.90.4.805
• 发表日期: 2008-11
• 页码: 805-811
• 关键词: estimating potential output; monetary-policy; business-cycle; natural rate; MODEL; unemployment; shocks

摘要

Standard estimates of the NAIRU or natural rate of unemployment are subject to considerable uncertainty. We show in this paper that using multiple indicators to extract an estimated NAIRU cuts in half uncertainty as measured by variance and gives a 33% reduction in the confidence band. The inclusion of an Okun's Law relation is particularly valuable. The essential notion is the existence of a common cyclical force driving the macroeconomic variables. Model comparisons based on the use of Bayes factors favor the idea of a common cyclical component.