Vector autoregressive methods have been used to model the interrelationships between job vacancy rates, job separation rates and job-finding rates using tools such as impulse response analysis. We investigate whether such impulse responses change across the business cycle or over time, by estimating time-varying parameter–vector autoregressions for data from North America (the USA and Canada) and Europe (France, Spain and the UK). While the adjustment process of the labour market to shocks in Canada and the USA is similar, we find the adjustment process differs much more across the European countries, with greater persistence in shocks relative to the USA and Canada.
|Number of pages||6|
|Journal||Journal of Applied Econometrics|
|Early online date||7 Aug 2012|
|Publication status||Published - 31 Mar 2014|
- worker flows
- time variation
- job vacancy rates