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Title: Asymmetric volatility spillovers between UK regional worker flows and vacancies
Authors: Gefang, Deborah
Johnes, Geraint
First Published: 9-Mar-2017
Publisher: Taylor & Francis (Routledge)
Citation: Applied Economics, 2017
Abstract: 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.
DOI Link: 10.1080/00036846.2017.1299105
ISSN: 0003-6846
eISSN: 1466-4283
Embargo on file until: 9-Sep-2018
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Copyright © 2017 Taylor & Francis (Routledge). Deposited with reference to the publisher’s open access archiving policy.
Description: 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.
Appears in Collections:Published Articles, Dept. of Economics

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