{"title":"Revisiting the hysteresis hypothesis: an ARIMAX approach","authors":"Robert Calvert Jump, Engelbert Stockhammer","doi":"10.4337/roke.2023.04.03","DOIUrl":null,"url":null,"abstract":"The 2008 financial crisis saw a resurgence of interest in the hysteresis hypothesis, which was subsequently reflected in policy responses to the COVID-19 and cost-of-living crises. In this paper, we present new evidence in favour of the hysteresis hypothesis for Germany, France, and the United Kingdom, using a dataset that spans from 1960 to 2019. Our model is based on the popular unobserved components approach to estimating the degree of hysteresis, which is generalised to permit a reduced form Phillips curve that takes the form of an ARIMAX model. Our results are robust to ARCH effects and varying the sample span. They support contemporary warnings of the risk of scarring effects following the COVID-19 crisis, long-standing Post-Keynesian models of hysteresis, and the recent resurgence of mainstream interest in hysteresis.","PeriodicalId":45671,"journal":{"name":"Review of Keynesian Economics","volume":null,"pages":null},"PeriodicalIF":1.8000,"publicationDate":"2023-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Keynesian Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.4337/roke.2023.04.03","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
The 2008 financial crisis saw a resurgence of interest in the hysteresis hypothesis, which was subsequently reflected in policy responses to the COVID-19 and cost-of-living crises. In this paper, we present new evidence in favour of the hysteresis hypothesis for Germany, France, and the United Kingdom, using a dataset that spans from 1960 to 2019. Our model is based on the popular unobserved components approach to estimating the degree of hysteresis, which is generalised to permit a reduced form Phillips curve that takes the form of an ARIMAX model. Our results are robust to ARCH effects and varying the sample span. They support contemporary warnings of the risk of scarring effects following the COVID-19 crisis, long-standing Post-Keynesian models of hysteresis, and the recent resurgence of mainstream interest in hysteresis.
期刊介绍：
The Review of Keynesian Economics (ROKE) is dedicated to the promotion of research in Keynesian economics. Not only does that include Keynesian ideas about macroeconomic theory and policy, it also extends to microeconomic and meso-economic analysis and relevant empirical and historical research. The journal provides a forum for developing and disseminating Keynesian ideas, and intends to encourage critical exchange with other macroeconomic paradigms. The journal is dedicated to the development of Keynesian theory and policy. In our view, Keynesian theory should hold a similar place in economics to that held by the theory of evolution in biology. Many individual economists still work within the Keynesian paradigm, but intellectual success demands institutional support that can leverage those individual efforts. The journal offers such support by providing a forum for developing and sharing Keynesian ideas. Not only does that include ideas about macroeconomic theory and policy, it also extends to microeconomic and meso-economic analysis and relevant empirical and historical research. We see a bright future for the Keynesian approach to macroeconomics and invite the economics profession to join us by subscribing to the journal and submitting manuscripts.
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