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

Michele Campolieti (), Deborah Gefang and Gary Koop
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Michele Campolieti: Department of Management, University of Toronto Scarborough

No 1138, Working Papers from University of Strathclyde Business School, Department of Economics

Abstract: VAR methods have been used to model the inter-relationships between inflows and outflows 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 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 infl‡ow and outfl‡ow hazards to be larger in 2008 than in earlier times. Furthermore, the effect of this shock takes longer to decay. For Canada, we find 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)
JEL-codes: C32 J63 J64 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2011-09
New Economics Papers: this item is included in nep-bec and nep-lab
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:str:wpaper:1138

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