Résumé
In this paper, we use the time-frequency wavelet estimators to analyze the robustness of Okun’s Law in the European Union across time and within various economic cycles. We extend the Okun’s Law literature as we focus on Europe, directly estimating the time-frequency varying Okun’s coefficient. We observe that Okun’s coefficient in Europe is unstable at short run (infra and annual cycles). The strength of Okun’s Law is time dependent at short run as linkages between growth and unemployment are stronger only during crisis times. Such instability is explained as unemployment predominates growth, leading to a positive coefficient and weaker strength. However, as the frequencies increase, the coefficient is more stable over time and the strength is higher and homogenous over time.