News and labour market dynamics in the data and in matching models

Konstantinos Theodoridis and Francesco Zanetti

No 488, Bank of England working papers from Bank of England

Abstract: This paper uses a vector autoregression model estimated with Bayesian methods to identify the effect of productivity news shocks on labour market variables by imposing that they are orthogonal to current technology but they explain future observed technology. In the aftermath of a positive news shock, unemployment falls, whereas wages and the job finding rate increase. The analysis establishes that news shocks are important in explaining the historical developments in labour market variables, whereas they play a minor role for movements in real activity. We show that the empirical responses to news shocks are in line with those of a baseline search and matching model of the labour market and that the job destruction rate and real wage rigidities are critical for the variables’ responses to the news shock.

Keywords: Anticipated productivity shocks; Bayesian SVAR methods; labour market search frictions (search for similar items in EconPapers)
JEL-codes: C32 C52 E32 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2014-03-28
New Economics Papers: this item is included in nep-lab and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Working Paper: News and Labor Market Dynamics in the Data and in Matching Models (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:0488

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