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Detecting unemployment hysteresis: A simultaneous unobserved components model with Markov switching

Klinger, Sabine ; Weber, Enzo



Abstract

We construct a new Markov-switching unobserved components framework for analysing hysteresis effects, featuring trend-cycle decomposition, identification of spillovers between the components and asymmetry over the business cycle. The decades-long upward trend in German unemployment is fully explained by hysteresis. The Great Recession was well absorbed because both hysteresis and structural ...

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