Stochastic Volatility in the U.S. Labor Market
AbstractIn state-of-the-art macroeconomic and labor market models shocks are assumed to be homoscedastic. However, we show that this assumption is much too restrictive. We �find signifi�cant evidence for strong time-varying volatility in all considered labor market time series. First, we estimate the unconditional variance-covariance matrix and �find signi�cant evidence for time variability. Second, we estimate the conditional variance-covariance matrix and discuss the time-varying risk contained in labor market variables. The implications are relevant for modelling purposes, welfare analysis, and the understanding of sources of fl�uctuations.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 43054.
Date of creation: 29 Nov 2012
Date of revision:
Dynamic Correlation; Multivariate GARCH; Stochastic Volatility;
Find related papers by JEL classification:
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
- J60 - Labor and Demographic Economics - - Mobility, Unemployment, and Vacancies - - - General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-15 (All new papers)
- NEP-LAB-2012-12-15 (Labour Economics)
- NEP-MAC-2012-12-15 (Macroeconomics)
- NEP-ORE-2012-12-15 (Operations Research)
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