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
Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Asymmetric volatility spillovers between UK regional worker flows and vacancies
AU - Gefang, Deborah
AU - Johnes, Geraint
N1 - 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
PY - 2017/8
Y1 - 2017/8
N2 - 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 thejob 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.
AB - 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 thejob 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.
KW - unemployment
KW - vacancies
KW - smooth transition
KW - Spillover
KW - volatility
KW - regions
U2 - 10.1080/00036846.2017.1299105
DO - 10.1080/00036846.2017.1299105
M3 - Journal article
VL - 49
SP - 5117
EP - 5133
JO - Applied Economics
JF - Applied Economics
SN - 0003-6846
IS - 50
ER -