VAR methods have been used to model the interrelationships between job vacancy rates, job separation rates and job-…nding rates 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 estimates TVP-VARs for data from North America (the US and Canada) and Europe (France, Spain and the United Kingdom). While the adjustment process of the labor market to shocks in Canada and the US is similar, there are some di¤erences in the European countries. In Europe, we …nd the patterns in the adjustment process di¤er much more across countries, with the common feature across European countries being greater persistence in shocks relative to the US and Canada. We also …nd some evidence that the process of labor market adjustment can vary across time and the business cycle, especially in Europe.JEL Classi…cation: J64; J63; C32.