Dissecting Okun's Law by Time and Frequency

14 Pages Posted: 13 Jul 2020

See all articles by Jens J. Krüger

Jens J. Krüger

Technical University of Darmstadt

Michael Neugart

Technical University of Darmstadt

Date Written: May 20, 2020

Abstract

The stability of Okun's Law mostly has been investigated over time. In this paper, we apply wavelet analysis to dissect the relationship between GDP growth and changes in the unemployment rate by time and frequency. The results show that coherence of GDP growth and changes in the unemployment rates at lower frequencies vanished with the Great Moderation. Coherence at higher frequencies shows an on-off pattern with a re-emergence of Okun's law during the Great Recession.

Keywords: Okun's law, wavelet analysis, US data

JEL Classification: C40, E24, E32

Suggested Citation

Krüger, Jens J. and Neugart, Michael, Dissecting Okun's Law by Time and Frequency (May 20, 2020). Available at SSRN: https://ssrn.com/abstract=3631037 or http://dx.doi.org/10.2139/ssrn.3631037

Jens J. Krüger

Technical University of Darmstadt ( email )

Hochschulstraße 1
Darmstadt, 64289
Germany

Michael Neugart (Contact Author)

Technical University of Darmstadt ( email )

Hochschulstraße 1
Darmstadt, 64289
Germany

HOME PAGE: http://www.vwl3.wi.tu-darmstadt.de

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
38
Abstract Views
213
PlumX Metrics