Tino Berger

UNEMPLOYMENT PERSISTENCE AND THE NAIRU: A BAYESIAN APPROACH

This paper estimates the United States and euro area NAIRU in a Bayesian framework. We set out a simple structural model explaining unemployment by demand and supply factors, which are treated as unobserved variables that have observable effects on measured unemployment, output and inflation. The model allows for unemployment persistence and a time-varying core inflation rate. The results show that although cyclical shocks are very persistent, most of the increase in European unemployment is driven by structural factors. The degree of persistence is lower in the United States but demand shocks seem to be more important in explaining variation in unemployment.

Global and Country-Specific Output Growth Uncertainty and Macroeconomic Performance†

We identify global and country-specific measures of output growth uncertainty for a large OECD country sample by means of a dynamic factor model with stochastic volatility. We find evidence for major bouts of global uncertainty in the early 1970s and late 2000s, and a number of periods with elevated levels of either global or national uncertainty, particularly in the early 1980s, 1990s and 2000s. VAR impulse responses of national macroeconomic variables to our estimated measures of uncertainty reveal that global uncertainty is the major driver of macroeconomic performance in most countries, whereas the impact of national uncertainty is small and frequently insignificant. We also find that uncertainty is transmitted primarily through investment and trade flows rather than through consumption demand.

ESTIMATING THE NATURAL RATE OF HOURS

This paper proposes an alternative measure for the slack of the aggregate labor market. The natural rate of hours holds valuable information about the state of the labor market that is not reflected by conventional measures, such as the equilibrium rate of unemployment, because it takes the intensive margin into account and is robust to variations in labor force participation. We set up and estimate a multivariate unobserved-components model using information on GDP, inflation, and hours worked, and apply it to the United States and Germany. The estimated hours gap outperforms conventional unemployment gap measures in a Taylor rule by formal model comparison.

The dynamics of short- and long-run capital mobility: evidence from a time-varying parameter error-correction model

This article analyses the dynamic evolution of capital mobility in eight Organization for Economic Co-operation and Development (OECD) countries over the period 1850 to 1992. We estimate an error-correction model of saving and investment that allows to distinguish between short- and long-run capital mobility. The parameters of the error-correction model are allowed to be time-vary ing and are estimated using the Kalman filter and maximum likelihood technique. We find that both short- and long-run capital mobility was very high at the end of the nineteenth century but since then decreased in most countries. However, the magnitude of changes in long-run capital mobility is very small while the absolute change of short-run capital mobility is substantial.

Is the Impact of Labour Taxes on Unemployment asymmetric

This paper tests whether the impact of labour taxes on unemployment is symmetric with respect to increases and decreases in labour taxes. Using a panel of 16 OECD countries over the period 1970-2005, we estimate a panel unobserved component model to account for the fact that unemployment rates and labour taxes are non-stationary but not co integrated. We find a positive impact of tax increases in European and Nordic countries but no effect of decreasing labour taxes on the rate of unemployment. For Anglo-Saxon countries, no impact of labour taxes on unemployment is found.

What Has Caused Global Business Cycle Decoupling: Smaller Shocks or Reduced Sensitivity?

According to a growing body of empirical literature, global shocks have become less important for business cycles in industrialized countries and emerging market economies since the mid-1980s. In this paper, we analyze the question of what might have caused a decoupling from the global business cycle: the smaller size of the global shocks or a reduced sensitivity of national business cycles to these shocks? To this end, we employ a large scale hierarchical dynamic factor model that decomposes the growth rates of GDP, consumption, and investment for 106 countries over 1961-2014 into a global, a group-, and a country-specific factor, as well as an idiosyncratic component. The factor loadings and conditional variances are allowed to vary over time according to random walk processes. Instead of assuming that the parameters change, we test for time variation using a Bayesian stochastic model specification search. Our results confirm a reduction in the importance of the global business cycle for the vast majority of our countries. However, the sensitivity of most countries to global or group-specific shocks as measured by the factor loadings has not changed over time. Instead, the magnitude of the global shocks relative to group-specific and country-specific shocks has decreased, resulting in a lower relevance of global shocks for national cycles.