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Labor Market Dynamics: A Time-Varying Analysis

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  • Haroon Mumtaz
  • Francesco Zanetti

Abstract

type="main" xml:id="obes12096-abs-0001"> This paper studies how key labour market stylized facts and the responses of labour market variables to technology shocks vary over the US postwar period. It uses a benchmark dynamic, stochastic, general equilibrium model enriched with labour market frictions and investment-specific technological progress that enables a novel identification scheme based on sign restrictions on a SVAR with time-varying coefficients and stochastic volatility. Key findings are: (i) the volatility in job finding and separation rates has declined over time, while their correlation varies across time; (ii) the job finding rate plays an important role for unemployment, and the two series are strongly negatively correlated over the sample period; (iii) the magnitude of the response of labour market variables to technology shocks varies across the sample period.

Suggested Citation

  • Haroon Mumtaz & Francesco Zanetti, 2015. "Labor Market Dynamics: A Time-Varying Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(3), pages 319-338, June.
  • Handle: RePEc:bla:obuest:v:77:y:2015:i:3:p:319-338
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    File URL: http://hdl.handle.net/10.1111/obes.2015.77.issue-3
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    Cited by:

    1. repec:eee:labeco:v:50:y:2018:i:c:p:156-179 is not listed on IDEAS
    2. Francesco Zanetti & Philip Liu & Haroon Mumtaz & Konstantinos Theodoridis, 2017. "Changing Macroeconomic Dynamics at the Zero Lower Bound," Economics Series Working Papers 824, University of Oxford, Department of Economics.
    3. repec:bla:obuest:v:79:y:2017:i:1:p:101-123 is not listed on IDEAS

    More about this item

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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