Okun´s law in Colombia: a non-linear cointegration
Borradores de Economía; No. 1039
Fecha de publicación
2018-02-16Fecha última actualización
2018-02-16Idioma del documento
engMétricas alternativas
Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva. The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.
Abstract
This paper identifies Okun´s law in Colombia between 1984 and 2016 using a
Vector Error Correction Model (VECM) as there is evidence of a long-term
relationship between the unemployment rate and the GDP. Results suggest that
after a one percent increase in GDP, the unemployment rate is reduced by 0.45
percentage points in the long run (after sixteen quarters). In addition we inspect
for nonlinearities using a threshold cointegration model (TVECM). Results
suggest the existence of two regimes a low and a high one. The high regime starts
at the late nineties and is associated with a more flexible labor market. Under
this regime, a 1% increase in GDP, reduces the UR 0.6 percentage points after
eighteen quarters. By contrast, under the low regime the response is 0.2
percentage points after eight quarters
Códigos JEL
Palabras clave
Keywords
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/7010https://hdl.handle.net/20.500.12134/7010
https://doi.org/10.32468/be.1039
https://ideas.repec.org/p/bdr/borrec/1039.html
Colecciones
- Borradores de Economía [1274]
Seleccionar año de consulta:
Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.Este documento ha sido depositado por parte de el(los) autor(es) bajo la siguiente constancia de depósito