Tuesday, July 18, 2017

UK Unemployment 1860-1915 (dynamic equilibrium model)

In addition to challenging the dynamic equilibrium model with a longer time series of US data [1], John Handley also challenged it with the long time series UK data (available here from FRED). I focused on the pre-WWI data because I already looked at the post war data here and the interwar period is strongly affected by the "conscription" shocks seen in [1]. Anyway, the results are decent:

The centers of the shocks are at 1861.5, 1866.9, 1876.3, 1884.6, 1892.5, 1902.1, and 1908.3. I think I might split the 1902.1 shock into two shocks.

These recessions roughly correspond with the Panic of 1857, the post-civil war UK recession, the "Long Depression" (1876, 1884, 1892) beginning with the Panic of 1873. The 1902 and 1908 shocks do no correspond to recessions listed at Wikipedia (which of course is definitive and exhaustive).

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