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

Gary Koop, Deborah Gefang, Michele Campolieti

Research output: Working paperDiscussion paper

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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 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 inflow and outflow 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.
Original languageEnglish
Place of PublicationGlasgow
PublisherUniversity of Strathclyde
Number of pages38
Publication statusPublished - 24 Sep 2011


  • unemployment hazards
  • labor market dynamics
  • time-varying parameter VAR
  • sign-restricted impulse responses


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