IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v28y2021i1p23-31.html
   My bibliography  Save this article

Credit spread and employment growth – a time-varying relationship?

Author

Listed:
  • Martin Nordström

Abstract

In this article, I explore time variation in the relationship between the credit spread and employment growth. Using a Bayesian VAR framework and formal model selection, it is concluded that the relationship is best modelled with constant parameters, but that heteroscedasticity needs to be taken into account. An interesting change in the dynamics is uncovered, where volatility in employment shocks induces more of the dynamics earlier in the sample and the role of volatility in credit-spread shocks is more pronounced in the latter parts.

Suggested Citation

  • Martin Nordström, 2021. "Credit spread and employment growth – a time-varying relationship?," Applied Economics Letters, Taylor & Francis Journals, vol. 28(1), pages 23-31, January.
    • Handle: RePEc:taf:apeclt:v:28:y:2021:i:1:p:23-31
    DOI: 10.1080/13504851.2020.1725416
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2020.1725416
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2020.1725416?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:28:y:2021:i:1:p:23-31. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.