A hybrid time-varying parameter Bayesian VAR analysis of Okun's law in the United States

摘要

Employing quarterly data on GDP growth and the unemployment rate ranging from 1948Q3 to 2019Q4, we study the stability of Okun's law in the United States. This is done by estimating hybrid timevarying parameter Bayesian VAR models that allow for time-variation in none, one or both of the equations. Model comparison based on marginal likelihoods suggests that the relationship has not been stable. However, the amount of change in the dynamic relationship between the two variables is quantitatively very modest. (C) 2020 The Author(s). Published by Elsevier B.V.