Unemployment, Investment and Global Expected Returns: A Panel FAVAR Approach

Preprint OPEN
Ron Smith; Gylfi Zoega;
(2005)
  • Subject: Investment, unemployment, principal components.
    • jel: jel:J1 | jel:E2

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 th... View more
  • References (2)

    Bernanke, B.S., J. Boivin and P. Eiasz (2005) Measuring the Effects of Monetary Policy: A Factor Augmented Vector Autoregressive Approach, Quarterly Journal of Economics, p. 387-422.

    Blanchard, O. (2000), The Economics of Unemployment: Shocks, Institutions, and Interactions, Lionel Robbins Lectures, October 2000.

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