Asymmetric volatility spillovers between UK regional worker flows and vacancies

Gefang, Deborah and Johnes, Geraint (2017) Asymmetric volatility spillovers between UK regional worker flows and vacancies. Applied Economics, 49 (50). pp. 5117-5133. ISSN 0003-6846

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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.

Item Type:
Journal Article
Journal or Publication Title:
Applied Economics
Additional Information:
This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 09/03/2017, available online:
Uncontrolled Keywords:
?? unemploymentvacanciessmooth transitionspillovervolatilityregionseconomics and econometricsc11, c32, c51, j63discipline-based research ??
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Deposited On:
22 Feb 2017 10:32
Last Modified:
16 Jun 2024 00:21