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

Leeves, Gareth David (2010) Declining US output volatility and its effect on labour flow volatility: An MGARCH analysis. Applied Economics, 42 20: 2553-2561. doi:10.1080/00036840801949774

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Author Leeves, Gareth David
Title Declining US output volatility and its effect on labour flow volatility: An MGARCH analysis
Journal name Applied Economics   Check publisher's open access policy
ISSN 0003-6846
1466-4283
Publication date 2010-05-26
Sub-type Article (original research)
DOI 10.1080/00036840801949774
Open Access Status
Volume 42
Issue 20
Start page 2553
End page 2561
Total pages 9
Place of publication London, United Kingdom
Publisher Routledge
Language eng
Subject C1
140212 Macroeconomics (incl. Monetary and Fiscal Theory)
140305 Time-Series Analysis
910107 Macro Labour Market Issues
1402 Applied Economics
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.
Keyword Employment
Unemployment
United States
Labour flow volatility
Multivariate GARCH models
Output volatility
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: 2010 Higher Education Research Data Collection
School of Economics Publications
 
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Created: Sat, 18 Apr 2009, 00:35:45 EST by Kaelene Matts on behalf of School of Economics