期刊名称：IoES Working Paper Series / Institute of Economic Studies, University of Iceland
出版年度：2005
卷号：2005
出版社：niversity of Iceland
摘要：We consider the hypothesis that a common factor, global expected returns, drives
unemployment and investment in 21 OECD countries over the period 1960-2002. We
investigate this hypothesis using a panel-factor augmented-vector autoregression
(FAVAR). We first estimate the common factors of unemployment and investment by
principal components and show that the first principal component of unemployment is
almost identical to that of investment and that they both show the pattern one would
expect of a rate of return as indicated by long interest rates. We then estimate panel
FAVARs to measure the dynamic impact of the global factors. Investment appears to
drive unemployment and – allowing for a moving natural rate of unemployment
driven by the global factor – produces much faster adjustment by unemployment.
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