Unemployment hysteresis in the Czech Republic
| Autor: | Mgr. Jakub Bechný |
|---|---|
| Rok: | 2016 - letní |
| Vedoucí: | PhDr. Jaromír Baxa Ph.D. |
| Konzultant: | |
| Typ práce: | Diplomová Ekonomická teorie |
| Jazyk: | Anglicky |
| Stránky: | 113 |
| Ocenění: | |
| Odkaz: | https://is.cuni.cz/webapps/zzp/detail/165582/ |
| Abstrakt: | This thesis presents an empirical analysis of the unemployment hysteresis in the Czech Republic on quarterly data from 1999 to 2015. The hysteresis is modelled by allowing for: (i) impact of the cyclical unemployment on the NAIRU; (ii) impact of the long-term unemployment on the NAIRU. Models are written in state space form and estimated using Bayesian approach. The main contributions of this thesis are as follows. The results provide robust evidence in favour of the hysteresis in the Czech Republic, but precise size of the hysteresis effect is surrounded by relatively large uncertainty. Posterior mean estimates of key parameters indicate that in response to increase in the cyclical unemployment of 1 percentage point, the NAIRU increases by 0.15 percentage points. The first specification of the hysteresis implies that the hysteresis induced changes in the Czech Republic’s NAIRU of at most 1 percentage point. The hysteresis specified as impact of the long-term unemployment on the NAIRU then implies even weaker effect, inducing changes in the NAIRU of at most 0.6 percentage points. The models are estimated jointly with the hybrid Phillips curve identified using survey forecasts as proxies for the expectations. Estimate of the expectations’ parameter 0.65 indicates the forward-looking nature of the Czech Republic’s inflation dynamics. |
