期刊論文

標題 Smooth-Time-Varying Okun's Coefficients
學年 96
學期 2
出版(發表)日期 2008/03/01
作品名稱 Smooth-Time-Varying Okun's Coefficients
作品名稱(其他語言)
著者 黃河泉; Huang, Ho-chuan; 林淑琴; Lin, Shu-chin
單位 淡江大學財務金融學系; 淡江大學經濟學系
出版者 Amsterdam: Elsevier BV * North-Holland
著錄名稱、卷期、頁數 Economic Modelling 25(2), pp.363-375
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.
關鍵字 Okun's law; Smooth-time-varying parameter; Productivity; Bayesian approach
語言 英文
ISSN 0264-9993
期刊性質 國外
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