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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

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Asymmetric volatility spillovers between UK regional worker flows and vacancies

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Asymmetric volatility spillovers between UK regional worker flows and vacancies. / Gefang, Deborah; Johnes, Geraint.

In: Applied Economics, Vol. 49, No. 50, 08.2017, p. 5117-5133.

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Gefang, Deborah ; Johnes, Geraint. / Asymmetric volatility spillovers between UK regional worker flows and vacancies. In: Applied Economics. 2017 ; Vol. 49, No. 50. pp. 5117-5133.

Bibtex

@article{da1f9985ae2541278e0ef66db18033ca,
title = "Asymmetric volatility spillovers between UK regional worker flows and vacancies",
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 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.",
keywords = "unemployment, vacancies, smooth transition, Spillover, volatility, regions",
author = "Deborah Gefang and Geraint Johnes",
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",
year = "2017",
month = "8",
doi = "10.1080/00036846.2017.1299105",
language = "English",
volume = "49",
pages = "5117--5133",
journal = "Applied Economics",
issn = "0003-6846",
publisher = "Routledge",
number = "50",

}

RIS

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 -