Faculty of Business Administration
On Time and frequency-varying Okun’s Coefficient: A new approach based on empirical mode decomposition
Prof. Myeong Jun Kim
School of Economics and Commerce of South China University of Technology
This study revisits the time-varying Okun’s law, using U.S. data over the period 1948Q2-2015Q3. The estimated Okun’s coefficients are negative over most of the time horizon and the absolute values of the time-varying Okun’s coefficient is getting smaller. The short- and long-term fluctuations of the time-varying Okun’s law are reconstituted using the ensemble empirical mode decomposition (EEMD) method, and their determinants are analyzed. The empirical results show that the number of working hours and utilization are important factors affecting the long- and short-term fluctuations of the time-varying Okun’s coefficients. More specifically, the short-term fluctuations of the working hours and utilization have significant positive and negative effects, respectively, on the magnitude of short-term fluctuations of the time-varying Okun’s coefficients. It is also found that the long-term fluctuation of the estimated time-varying Okun’s coefficient has a very similar pattern to the detrended real GDP series. We also show the estimated regression estimates are very stable with respect to the considered EEMD method using a simple simulation.
Date: 22 May, 2019 (Wednesday)
Myeong Jun Kim is an Assistant Professor at the School of Economics and Commerce of South China University of Technology, China. He is currently working on topics in on time and frequency-varying Okun’s coefficient. His papers have been published in the Pacific Economic Review, Journal of Empirical Finance, International Review of Financial Analysis and other peer-reviewed journals. He obtained a Ph.D. degree in Economics from the Chung-Ang University.
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