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Labour Market Analysis with VAR Models


  • Peter Summers

    (Melbourne Institute of Applied Economic and Social Research, The University of Melbourne)


This paper provides an overview of how labour market analysis can be conducted in the context of VAR-based models. The examples presented here show that these methods are quite flexible, and capable of addressing a wide variety of theoretical and policy-related issues. Specifically, the various techniques are illustrated in models which: examine the dynamics of gross job flows; assess the relationship between real wages and unemployment; quantify the contribution of sectoral shocks to the number of people unemployed by duration of unemployment; examine the relative contributions of discouraged worker effects, insider effects, etc. on the persistence of unemployment; and analyse the effects of labour market shocks in the OECD countries.

Suggested Citation

  • Peter Summers, 2000. "Labour Market Analysis with VAR Models," Melbourne Institute Working Paper Series wp2000n19, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  • Handle: RePEc:iae:iaewps:wp2000n19

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    References listed on IDEAS

    1. Dolado, Juan J. & Jimeno, Juan F., 1997. "The causes of Spanish unemployment: A structural VAR approach," European Economic Review, Elsevier, vol. 41(7), pages 1281-1307, July.
    2. Steven J. Davis & John C. Haltiwanger & Scott Schuh, 1998. "Job Creation and Destruction," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262540932, July.
    3. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    4. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    5. Steven J. Davis & John Haltiwanger, 1990. "Gross Job Creation and Destruction: Microeconomic Evidence and Macroeconomic Implications," NBER Chapters,in: NBER Macroeconomics Annual 1990, Volume 5, pages 123-186 National Bureau of Economic Research, Inc.
    6. Turner, Paul Michael, 1993. "A Structural Vector Autoregression Model of the UK Business Cycle," Scottish Journal of Political Economy, Scottish Economic Society, vol. 40(2), pages 143-164, May.
    7. Balmaseda, Manuel & Dolado, Juan J & Lopez-Salido, J David, 2000. "The Dynamic Effects of Shocks to Labour Markets: Evidence from OECD Countries," Oxford Economic Papers, Oxford University Press, vol. 52(1), pages 3-23, January.
    8. Jordan Shan, 1999. "Immigration and Unemployment: New evidence from Australia and New Zealand," International Review of Applied Economics, Taylor & Francis Journals, vol. 13(2), pages 253-260.
    9. Jacobson, Tor & Vredin, Anders & Warne, Anders, 1997. "Common trends and hysteresis in Scandinavian unemployment," European Economic Review, Elsevier, vol. 41(9), pages 1781-1816, December.
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    Cited by:

    1. Anita Staneva, 2007. "Econometric analysis of Labour Market in Bulgaria - 1991-2006," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 144-172.
    2. Elena Vakulenko, 2013. "Labour Market Analysis using Time Series Models: Russia 1999-2011," Quaderni del Dipartimento di Economia, Finanza e Statistica 120/2013, Università di Perugia, Dipartimento Economia.
    3. John Freebairn & Peter Dawkins, 2003. "Unemployment Policy: Lessons from Economic Analysis," Melbourne Institute Working Paper Series wp2003n22, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.

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