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Declining US output volatility and its effect on labour flow volatility: an MGARCH analysis

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  • Gareth David Leeves

Abstract

This article analyses flow rates of US workers between employment and unemployment using new quarterly data for the period 1967 to 2002. Multivariate GARCH models are used to investigate links between flow-rate volatilities. The results suggest that links changed substantially in the mid 1980s, coinciding with the documented decline in output volatility. These changes in adjustment dynamics are consistent with a move to greater use of hours rather than worker adjustment.

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  • Gareth David Leeves, 2010. "Declining US output volatility and its effect on labour flow volatility: an MGARCH analysis," Applied Economics, Taylor & Francis Journals, vol. 42(20), pages 2553-2561.
    • Handle: RePEc:taf:applec:v:42:y:2010:i:20:p:2553-2561
    DOI: 10.1080/00036840801949774
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    References listed on IDEAS

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    1. Daniel J. Vine & Valerie A. Ramey, 2006. "Declining Volatility in the U.S. Automobile Industry," American Economic Review, American Economic Association, vol. 96(5), pages 1876-1889, December.
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    Cited by:

    1. Julien Chevallier, 2012. "Time-varying correlations in oil, gas and CO 2 prices: an application using BEKK, CCC and DCC-MGARCH models," Applied Economics, Taylor & Francis Journals, vol. 44(32), pages 4257-4274, November.

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