Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - Time variation in the dynamics of worker flows
T2 - evidence from North America and Europe
AU - Campolieti, Michele
AU - Gefang, Deborah
AU - Koop, Gary
PY - 2014/3
Y1 - 2014/3
N2 - Vector autoregressive methods have been used to model the interrelationships between job vacancy rates, job separation rates and job-finding rates using tools such as impulse response analysis. We investigate whether such impulse responses change across the business cycle or over time, by estimating time-varying parameter–vector autoregressions for data from North America (the USA and Canada) and Europe (France, Spain and the UK). While the adjustment process of the labour market to shocks in Canada and the USA is similar, we find the adjustment process differs much more across the European countries, with greater persistence in shocks relative to the USA and Canada.
AB - Vector autoregressive methods have been used to model the interrelationships between job vacancy rates, job separation rates and job-finding rates using tools such as impulse response analysis. We investigate whether such impulse responses change across the business cycle or over time, by estimating time-varying parameter–vector autoregressions for data from North America (the USA and Canada) and Europe (France, Spain and the UK). While the adjustment process of the labour market to shocks in Canada and the USA is similar, we find the adjustment process differs much more across the European countries, with greater persistence in shocks relative to the USA and Canada.
U2 - 10.1002/jae.2296
DO - 10.1002/jae.2296
M3 - Journal article
VL - 29
SP - 265
EP - 290
JO - Journal of Applied Econometrics
JF - Journal of Applied Econometrics
SN - 0883-7252
IS - 2
ER -