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    Rights statement: This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 09/03/2017, available online: http://www.tandfonline.com/10.1080/00036846.2017.1299105

    Accepted author manuscript, 381 KB, PDF-document

    Available under license: CC BY-NC: Creative Commons Attribution-NonCommercial 4.0 International License

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Asymmetric volatility spillovers between UK regional worker flows and vacancies

Research output: Contribution to journalJournal article

Published
<mark>Journal publication date</mark>08/2017
<mark>Journal</mark>Applied Economics
Issue number50
Volume49
Number of pages17
Pages (from-to)5117-5133
Publication statusPublished
Early online date9/03/17
Original languageEnglish

Abstract

This paper investigates volatility spillovers between UK regional job finding, job separation and vacancy rates. Employing a large Bayesian logistic smooth transition vector autoregression (VAR) model, we find high volatility spillovers between UK regional labour markets. Analyses of net spillovers show that, in general, shocks to job separation rates tend to spread into job finding and vacancy rates, while vacancy rates are usually at the receiving end of shocks transmitted from the
job separations and job findings. To shed further light on the shock propagation mechanism, we also look into more detailed matters such as the differences in spillovers between regions within the same regime, and that of the same region but in different regimes.

Bibliographic note

This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 09/03/2017, available online: http://www.tandfonline.com/10.1080/00036846.2017.1299105