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

Koop, Gary and Gefang, Deborah and Campolieti, Michele (2011) Time Variation in the Dynamics of Worker Flows : Evidence from the US and Canada. Discussion paper. University of Strathclyde, Glasgow.

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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 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.

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