2012
DOI: 10.1002/jae.2296
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Time Variation in the Dynamics of Worker Flows: Evidence From North America and Europe

Abstract: 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… Show more

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Cited by 13 publications
(2 citation statements)
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“…For example, Fujita (2011) and Campolieti, Gefang and Koop (2012) show that the process of labor market adjustment in the US and Canada (as well as Spain, France and the UK) exhibits persistence (to varying degrees) since shocks to labor market ‡ows and vacancies take time to dissipate. This suggests that DFMs of employment growth with richer dynamics on the errors and factors may better re ‡ect the process of labor market adjustment in many countries.…”
Section: Dynamic Factor Models For Employment Growthmentioning
confidence: 99%
“…For example, Fujita (2011) and Campolieti, Gefang and Koop (2012) show that the process of labor market adjustment in the US and Canada (as well as Spain, France and the UK) exhibits persistence (to varying degrees) since shocks to labor market ‡ows and vacancies take time to dissipate. This suggests that DFMs of employment growth with richer dynamics on the errors and factors may better re ‡ect the process of labor market adjustment in many countries.…”
Section: Dynamic Factor Models For Employment Growthmentioning
confidence: 99%
“…They propose an efficient algorithm for sampling from the posterior distributions when the structural model is identified using sign restrictions, and demonstrate that the penalty function approach leads to biased impulse responses and artificially narrow confidence intervals when applied to the VAR model used byMountford and Uhlig (2009). In the remainder of this paper, we focus on 4 structural shocks that are identified using sign restrictions on the impulse responses, and the impulse responses are constructed using the QR decomposition approach and sampler proposed by Arias, Rubio-Ramirez, and Waggoner (2015) 12.…”
mentioning
confidence: 99%