Template-Type: ReDIF-Paper 1.0
Author-Name: Michele Campolieti
Author-Name-First: Michele
Author-Name-Last: Campolieti
Author-Email: campolie@chass.utoronto.ca
Author-Workplace-Name: Department of Management, University of Toronto Scarborough
Author-Name: Deborah Gefang
Author-Name-First: Deborah
Author-Name-Last: Gefang
Author-Email: d.gefang@lancaster.ac.uk
Author-Workplace-Name: Department of Economics, Lancaster University
Author-Name: Gary Koop
Author-Name-First: Gary
Author-Name-Last: Koop
Author-Email: gary.koop@strath.ac.uk
Author-Workplace-Name: Department of Economics, University of Strathclyde
Title: Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada
Abstract: 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 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 infl‡ow and outfl‡ow 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.
Length: 38 pages
Creation-Date: 2011-09
Revision-Date: 
Publication-Status: Published
File-URL: http://www.strath.ac.uk/media/1newwebsite/departmentsubject/economics/research/researchdiscussionpapers/2011/11-38-Final.pdf
File-Format: Application/pdf
Number: 1138
Classification-JEL: J64; J63; C32
Keywords: unemployment hazards, labor market dynamics, time-varying parameter VAR, sign-restricted impulse responses
Handle: RePEc:str:wpaper:1138