Asymmetric volatility spillovers between the U.K. regional worker flows and vacancies

Deborah Gefang and Geraint Johnes

Applied Economics, 2017, vol. 49, issue 50, 5117-5133

Abstract: This article investigates volatility spillovers between the U.K. regional job finding, job separation and vacancy rates. Employing a large Bayesian logistic smooth transition vector autoregression model, we find high volatility spillovers between the U.K. 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 the job 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.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2017.1299105 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Asymmetric volatility spillovers between UK regional worker flows and vacancies (2014)
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:taf:applec:v:49:y:2017:i:50:p:5117-5133

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2017.1299105

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().