The NAIRU, Potential Output, and Okun's Law : Application of the Kalman Filter to Postwar Japan, U.S.A., and U.K. 

作成者 天野, 昌功
作成者の別表記 AMANO, Masanori
日本十進分類法 (NDC) 330
内容 This paper is an attempt to estimate the NAIRU and potential output for the postwar Japanese, U.S., and U.K. economies using the Kalman-filter algorithm. The main device of our framework which enables the estimation results for the three countries to be compared to each other is that I call on Blanchard (1997)'s version of the Okun law, where he contrasts output growth in excess of the normal growth rate and changes in the rate of unemployment. In the original Okun relationship, the two variables are the output gap in excess of its potential level and the rate of unemployment in excess of its natural level, respectively. Although this original version involves unobservable variables, Blanchard's version is composed of all observable variables. Using this correspondence I choose the two error variances in Kalman-filter formulations to estimate the above two latent variables as well as Okun's relations for the three countries.
公開者 千葉大学総合政策学会, 千葉大学経済学会
コンテンツの種類 紀要論文 Departmental Bulletin Paper
DCMI資源タイプ text
ファイル形式 application/pdf
ISSN 0912-7216
NCID AN10005358
掲載誌情報 千葉大学経済研究 Vol.19 no.2 page.1-22 (20040929)
情報源 Economic journal of Chiba University
言語 英語
著者版フラグ publisher

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