Persistence and Cycles in US Hours Worked

29 Pages Posted: 1 Apr 2012

See all articles by Guglielmo Maria Caporale

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Luis A. Gil-Alana

University of Navarra - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: March 1, 2012

Abstract

This paper analyses monthly hours worked in the US over the sample period 1939m1 - 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterised by autocorrelations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is unbounded at a non-zero frequency. The reason for choosing this specification is that the periodogram of the hours worked series has a peak at a frequency away from zero. The empirical results confirm that this model works extremely well for hours worked, and it is then employed to analyse their relationship with technology shocks. It is found that hours worked increase on impact in response to a technology shock (though the effect dies away rapidly), consistently with Real Business Cycle (RBC) models.

Keywords: Hours worked, fractional integration, cycles, technology shocks

JEL Classification: C32, E24

Suggested Citation

Caporale, Guglielmo Maria and Gil-Alana, Luis A., Persistence and Cycles in US Hours Worked (March 1, 2012). DIW Berlin Discussion Paper No. 1200, Available at SSRN: https://ssrn.com/abstract=2030860 or http://dx.doi.org/10.2139/ssrn.2030860

Guglielmo Maria Caporale (Contact Author)

Brunel University London - Department of Economics and Finance ( email )

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London South Bank University ( email )

Centre for Monetary and Financial Economics
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CESifo (Center for Economic Studies and Ifo Institute)

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German Institute for Economic Research (DIW Berlin) ( email )

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Berlin, 10117
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Luis A. Gil-Alana

University of Navarra - Department of Economics ( email )

Campus de Arrosadia
Pamplona, 31006
Spain

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