Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada

Gary Koop, Deborah Gefang and Michele Campolieti

No 2012-69, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

Abstract: VAR methods have been used to model the inter-relationships between inflows and outfl ows into unemployment and vacancies using tools such as impulse response analysis. In order to investigate whether such impulse responses change over the course of the business cycle or or over time, this paper uses TVP-VARs for US and Canadian data. For the US, we find interesting differences between the most recent recession and earlier recessions and expansions. In particular, we find the immediate effect of a negative shock on both in ow and out flow hazards to be larger in 2008 than in earlier times. Furthermore, the effect of this shock takes longer to decay. For Canada, we fi nd less evidence of time-variation in impulse responses.

Keywords: unemployment hazards; labor market dynamics; time-varying parameter VAR; sign-restricted impulse responses (search for similar items in EconPapers)
Date: 2012
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Working Paper: Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada (2011)
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