198,619 research outputs found
The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks
No full textMany researchers believe that the Beveridge-Nelson decomposition leads to permanent and transitory components whose shocks are perfectly negatively correlated. Indeed, some even consider it to be a property of the decomposition. We demonstrate that the Beveridge-Nelson decomposition does not provide definitive information about the correlation between permanent and transitory shocks in an unobserved components model. Given an ARIMA model describing the evolution of U.S. real GDP, we show that there are many state space representations that generate the Beveridge-Nelson decomposition. These include unobserved components models with perfectly correlated shocks and partially correlated shocks. In our applications, the only knowledge we have about the correlation is that it lies in a restricted interval that does not include zero. Although the filtered estimates of the trend and cycle are identical for models with different correlations, the observationally equivalent unobserved components models produce different smoothed estimates.
The Multistep Beveridge-Nelson Decomposition
No full textThe Beveridge-Nelson decomposition defines the trend component in terms of the eventual forecast function, as the value the series would take if it were on its long-run path. The paper introduces the multistep Beveridge-Nelson decomposition, which arises when the forecast function is obtained by the direct autoregressive approach, which optimizes the predictive ability of the AR model at forecast horizons greater than one. We compare our proposal with the standard Beveridge-Nelson decomposition, for which the forecast function is obtained by iterating the one-step-ahead predictions via the chain rule. We illustrate that the multistep Beveridge-Nelson trend is more efficient than the standard one in the presence of model misspecification and we subsequently assess the predictive validity of the extracted transitory component with respect to future growth.Trend and Cycle; Forecasting; Filtering.
The Beveridge Curve in Europe: New evidence using national and regional data
No full textIn this paper, national and regional data on job vacancies and unemployment are combined to estimate the Beveridge curves of five European countries and 60 regions,
focusing on the period 1975-2004. The Beveridge curve depicts the empirical negative relationship between job vacancy rate and unemployment rate, and reflects the effciency of the job matching process. Movements along a fixed downward-sloping Beveridge curve
are associated with cyclical shocks, while shifts of the curve arise from structural factors that alter the matching effciency between job vacancies and unemployed workers. With the same data I then analyze shifts in the Beveridge curves and determine whether these shifts are due to structural changes affecting the matching effciency, or to cyclical factors. The empirical evidence suggests that changes in labor market institutions, long-term unemployment, as well as cyclical shocks are responsible for outward shifts in
European Beveridge curves
Beveridge-Nelson Decomposition with Markov Switching
No full textThis paper considers Beveridge-Nelson decomposition in a context where the permanent and transitory components both follow a Markov switching process. Our approach incorporates Markov switching into a single source of error state-space framework, allowing business cycle asymmetries and regime switches in the long run multiplier.Beveridge-Nelson decomposition, Markov switching, Single source of error state space models
The Imaging of a Complete Biological Structure with the Scanning Tunneling Microscope
No full textPT: J; CR: 1986, IBM J RES DEV, V30 AMREIN M, 1988, IN PRESS J MICROSCOP AMREIN M, 1988, SCIENCE, V240, P514 BEVERIDGE TJ, 1985, J BACTERIOL, V162, P728 BEVERIDGE TJ, 1987, CAN J MICROBIOL, V33, P725 BINNIG G, 1982, HELV PHYS ACTA, V55, P726 BLACKFORD BL, 1987, REV SCI INSTRUM, V58, P1343 BLACKFORD BL, 1988, IN PRESS J MICROSCOP DAHN DC, 1988, J VAC SCI TECHNOL A, V6, P548 FOSTER JS, 1988, IN PRESS J MICROSCOP HANSMA PK, 1987, J APPL PHYS, V61, R1 LINDSAY SM, 1988, J VAC SCI TECHNOL A, V6, P544 SHAW PJ, 1985, J BACTERIOL M, V161, P650 SMITH D, 1988, IN PRESS J MICROSCOP SMITH DPE, 1987, P NATL ACAD SCI USA, V84, P969 SONNENFELD R, 1986, SCIENCE, V232, P211 SPROTT GD, 1980, CAN J MICROBIOL, V26, P115 SPROTT GD, 1986, CAN J MICROBIOL, V32, P847 STEMMER A, 1987, SURF SCI, V181, P394 STEWART M, 1985, J MOL BIOL, V183, P509 STROSCIO JA, 1987, PHYS REV LETT, V58, P1668 ZASADZINSKI JAN, 1988, SCIENCE, V239, P1013; NR: 22; TC: 12; J9: ULTRAMICROSCOPY; PG: 6; GA: AA937Source type: Electronic(1
A multivariate innovations state space Beveridge Nelson decomposition
No full textThe Beveridge Nelson vector innovation structural time series framework is new formu- lation that decomposes a set of variables into their permanent and temporary components. The framework models inter-series relationships and common features in a simple man- ner. In particular, it is shown that this new speci¯cation is more simple than conventional state space and cointegration approaches. The approach is illustrated using a trivariate data set comprising the GD(N)P of Australia, America and the UK.vector innovation structural time series; multivariate time series; Bev- eridge Nelson; common components
Regional Beveridge Curves: A Latent Variable Approach
No full textIt is important to understand how labour markets in different regions are affected by ‘common’ or ‘national’ shocks including national macroeconomic, monetary and fiscal policies. This paper applies a new econometric approach - involving an unobserved components model - to identify the direction and timing of the shifts in regional Beveridge Curves. The method allows for the presence of common national factor(s) and region specific factor(s) in the determination of activity in labour markets including regional specific loadings on the common factor. The method is applied to Australian data. The results show that equilibrium unemployment rate vary by region and over time. In terms of implications for policies to reduce unemployment, these results suggest a key potential role for regional policies.
The Beveridge Curve in the Housing Market: Supply and Disequilibrium
No full textThere is a long-run `Beveridge Curve' in the Housing market given by the negative relationship between the vacancy rate of housing and the rate of household formation. This is true in the owner-occupied market, the rental market, and the total market for housing irrespective of ownership status. The Beveridge Curve represents a long-run supply condition that can be explained by assuming that (1) the cost to produce a new house is decreasing in the growth rate of the housing stock and (2) the probability to sell a new house is decreasing in the vacancy rate. Short-run deviations from the Beveridge curve represent a measurement of oversupply. Using a years of supply metric, for the total housing market irrespective of ownership, in 2007-2008 there were 0.995 years of supply, more than three times the previous peak of 0.285 years of supply in 1973-1974. Comparing the rental market to the owner-occupied market, oversupply generally shows up in the rental market, not the owner-occupied market and the oversupply in the rental market is twice as volatile as oversupply in the owner-occupied market, implying that a large part of the market adjustment to housing supply occurs in the rental market. Interestingly two-thirds of the oversupply in 2007-2008 resided in the rental market as opposed to the owner-occupied market. Using FHFA data for house prices, 46% of the movements in oversupply in the owner-occupied market since 1975 can be explained by house price movements. The last result suggests that at short horizons (4-6 years) house prices are not determined by supply. Rather, house prices drive supply at short time horizons, permitting bubbles and oversupplies of housing to form.
- …
