연구정보
Nonlinear Co-Integration Between Unemployment and Economic Growth in South Africa
남아프리카공화국 국외연구자료 기타 Andrew Phiri Managing Global Transitions 발간일 : 2014-01-01 등록일 : 2016-05-03 원문링크
In this paper, a momentum threshold autoregressive (MTAR) model is used to evaluate nonlinear equilibrium reversion between unemployment and economic growth for South African data between the periods 2000–2013. To attain this objective we estimate the first-difference and the gap model variations of Okun’s specification. For the latter model variation, we employ three de-trending methods to obtain the relevant ‘gap’ data; namely, the Hodrick-Prescott (HP) filter, the Baxter-King (BK) filter and the Butterworth (BW) digital filter. A common finding from our empirical analysis is that Okun’s law holds concretely for South African data regardless of the model specification or the de-trending technique that is used. Moreover, our analysis proves that unemployment Granger causes economic growth in the long-run, a result which may account for the jobless-growth phenomenon experienced by South Africa over the last decade or so.