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TIME VARIATION IN THE DYNAMICS OF WORKER FLOWS: EVIDENCE FROM NORTH AMERICA AND EUROPE
Author(s) -
Campolieti Michele,
Gefang Deborah,
Koop Gary
Publication year - 2014
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.2296
Subject(s) - autoregressive model , economics , econometrics , impulse response , business cycle , vector autoregression , variation (astronomy) , demographic economics , macroeconomics , mathematics , mathematical analysis , physics , astrophysics
SUMMARY 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. Copyright © 2012 John Wiley & Sons, Ltd.