Oil prices, labour market adjustment and dynamic quantile connectedness analysis: evidence from Greece during the crisis

Panagiotis Palaios and Evangelia Papapetrou ()
Additional contact information
Panagiotis Palaios: The American College of Greece
Evangelia Papapetrou: National and Kapodistrian University of Athens

Journal of Economic Structures, 2022, vol. 11, issue 1, 1-21

Abstract: Abstract This paper examines the spillover effects transmission mechanism between oil prices, oil price uncertainty and oil price volatility on labour market in Greece, using static and dynamic quantile connectedness methodology (Diebold and Yilmaz Diebold and Yilmaz, Int J Forecast 28:57–66, 2012; Ando et al. Ando T, Greenwood-Nimmo N, Shin Y (2018) ‘Quantile connectedness: Modelling tail behavior in the topology of financial networks’, Working Paper. https://ssrn.com/abstract=3164772 .). There is empirical evidence that the oil price variable is the most influential node of the energy variables on hirings and firings, suggesting the endogeneity of the labour market variables. Rolling estimation analysis based on the quantile VAR to capture the volatility spillovers across the whole conditional distribution shows a large variation of the total connectedness index, which is responsive to exogenous adverse and beneficial shocks. Further, our results point to a strong effect due to the COVID-19 pandemic and the state intervention to sustain the pandemic on the labour market. Overall, the analysis reveals a substantial higher time-varying connectedness of the system at the tails of the distribution, indicating that changes in energy markets asymmetrically affect the Greek labour market in recessionary and flourishing states of the economy, rather than normal times.

Keywords: Oil prices; Oil price uncertainty; Interest rates; Labour market; Quantile connectedness (search for similar items in EconPapers)
JEL-codes: C32 E24 E32 Q43 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1186/s40008-022-00291-7 Abstract (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jecstr:v:11:y:2022:i:1:d:10.1186_s40008-022-00291-7

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/40008

DOI: 10.1186/s40008-022-00291-7

Access Statistics for this article

Journal of Economic Structures is currently edited by Shigemi Kagawa and Kazuhiko Nishimura

More articles in Journal of Economic Structures from Springer, Pan-Pacific Association of Input-Output Studies (PAPAIOS) Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().