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Asymmetric volatility spillovers between UK regional worker flows and vacancies

journal contribution
posted on 21.03.2017, 10:23 by Deborah Gefang, Geraint Johnes
This paper investigates volatility spillovers between UK regional job finding, job separation and vacancy rates. Employing a large Bayesian logistic smooth transition vector autoregression (VAR) model, we find high volatility spillovers between UK regional labour markets. Analyses of net spillovers show that, in general, shocks to job separation rates tend to spread into job finding and vacancy rates, while vacancy rates are usually at the receiving end of shocks transmitted from the job separations and job findings. To shed further light on the shock propagation mechanism, we also look into more detailed matters such as the differences in spillovers between regions within the same regime, and that of the same region but in different regimes.

History

Citation

Applied Economics, 2017

Author affiliation

/Organisation/COLLEGE OF SOCIAL SCIENCES, ARTS AND HUMANITIES/Department of Economics

Version

AM (Accepted Manuscript)

Published in

Applied Economics

Publisher

Taylor & Francis (Routledge)

issn

0003-6846

eissn

1466-4283

Acceptance date

22/02/2017

Copyright date

2017

Available date

09/09/2018

Publisher version

http://www.tandfonline.com/doi/full/10.1080/00036846.2017.1299105

Notes

The file associated with this record is under embargo until 18 months after publication, in accordance with the publisher's self-archiving policy. The full text may be available through the publisher links provided above.

Language

en

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Categories

Keywords

Exports