This paper presents some of the conclusions reached by us in the framework of a broader research on the Natural Rate of Unemployment (NRU). Our main aim is to ascertain the NRU properties as an economic indicator, and we have tested its properties for France, Spain, Italy, Austria and Denmark. First we review the concept of NRU. Secondly we compare the two most important types of NRU models: the Phillips model, updated by Gordon’s model (1997) and Layard, Nickell and Jackman’s model (1991) updated by Blanchard’s version (1999). The economic and social factors leading to the existence of a short or medium-run varying NRU or to the non-existence of a long-run NRU are emphasized. Thirdly, we make the econometric analysis to confirm the cyclical behavior of NAIRU. After justifying the choice of the European countries sample, we use a non-linear version of Elmeskov method. As we suspected, we have obtained robust cyclical models for the NAWRU.

keywords: Phillips curve; NRU; short and long run NAWRU; hysteresis; policy indicator; Elmeskov method