Calendar effects in daily aggregate employment creation and destruction in Spain

Abstract

In this paper, we discuss the time series properties of a novel daily series of aggregate employment creation and destruction as registered by the Social Security in Spain. We focus on the period of economic recovery after the 2012 Labour Market Reform. Our concern for high-frequency data is motivated by the recent upsurge of labour contracts of a very short duration, which seems to have exacerbated the spikes in employment flows over the calendar year. First, we identify calendar effects in job flows and single out the Monday effect: an overreaction in job creation at the beginning of the workweek. Then, we investigate the importance of calendar effects for aggregate employment dynamics. We find that the employment growth rate shows a systematic decrease by the end of each month, which is more pronounced during the second half of the year, and it intensifies as the economy moves further along the expansion period. Finally, we use the flow of contract records at the micro-level (several millions) to evaluate how the occupational structure determines employment spikes. Our findings indicate that short-term contracts are highly prevalent in occupations under stronger calendar effects. In particular, we show that temporary workers' contracts are the most important source of the Monday effect. Keywords Employment flows • Fixed-term contracts • Calendar effects • Business cycle fluctuations • Sectoral composition • Regime shifts JEL Classification J23 • E24 • C22 We thank Israel Arroyo, Floren Felgueroso, Marcel Jansen and Juan Jimeno for insightful discussions, as well as seminar participants at Fedea and Universidad de Málaga. We also thank two reviewers and the editor for their suggestions. Finally, we thank Fedea for the access to the SEPE data, and the Spanish Ministerio de Economía y Competitividad (Grant ECO2016-76818) and the Bank of Spain (Grant Excelencia 2016-17) for their financial support.

Geographic Mobility Over the Life-Cycle

“…Together with the sizeable EU flow rates, the average job stability is low in Spain reflecting the high share of temporary work contracts in the economy. As documented byConde- Ruiz et al (2019), those contracts produce large worker turnover as some workers may sign different labor contracts every week.…”