Dennis, Wesselbaum (2012): Stochastic Volatility in the U.S. Labor Market.
Download (229kB) | Preview
In state-of-the-art macroeconomic and labor market models shocks are assumed to be homoscedastic. However, we show that this assumption is much too restrictive. We �find signifi�cant evidence for strong time-varying volatility in all considered labor market time series. First, we estimate the unconditional variance-covariance matrix and �find signi�cant evidence for time variability. Second, we estimate the conditional variance-covariance matrix and discuss the time-varying risk contained in labor market variables. The implications are relevant for modelling purposes, welfare analysis, and the understanding of sources of fl�uctuations.
|Item Type:||MPRA Paper|
|Original Title:||Stochastic Volatility in the U.S. Labor Market|
|Keywords:||Dynamic Correlation; Multivariate GARCH; Stochastic Volatility|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E30 - General
J - Labor and Demographic Economics > J6 - Mobility, Unemployment, Vacancies, and Immigrant Workers > J60 - General
C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C30 - General
|Depositing User:||Dennis Wesselbaum|
|Date Deposited:||06 Dec 2012 13:47|
|Last Modified:||22 Apr 2017 11:19|
Basu, S., J. G. Fernald, and M. S. Kimball (2006). "Are Technology Improvements Contractionary?" American Economic Review, 96, 1418-1448.
Bloom, N. (2009). �The Impact of Uncertainty Shocks.�Econometrica, 77, 623�685.
Bloom, N., M. Floetotto, N. Jaimovich, I. Saporta-Eksten, and S. J. Terry (2012). "Really Uncertain Business Cycles." NBER Working Paper, 18245.
Bollerslev, T. (1990). �Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model.�Review of Economics and Statistics, 72, 498�505.
Engle, R. F., and K. F. Kroner (1995): �Multivariate simultaneous generalized ARCH,�Econometric Theory, 11, 122�150.
Engle, R. F. and K. Sheppard (2001). "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH." NBER Working Paper, 8554.
Engle, R. F. (1999). "Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models." UCSD Economic Working Papers, 2000-09.
Fernandez-Villaverde, J. and J. Rubio-Ramírez (2010). "Macroeconomics and Volatility: Data, Models, and Estimation." NBER Working Paper, 16618.
Hamilton, J. D.. (2008). "Macroeconomics and ARCH." NBER Working Paper, No. 14151.
Justiniano A. and G. E. Primiceri (2008). �The Time Varying Volatility of Macroeconomic Fluctuations.�American Economic Review, 98, 604-641.
Mortensen, D. T. and C. A. Pissarides (1994). "Job Creation and Job Destruction in the Theory of Unemployment." Review of Economic Studies, 61, 397-415.
Primiceri, G. E. (2005). "Time Varying Structural Vector Autoregressions andMonetary Policy." Review of Economic Studies, 72, 821-852
Silvennoinen, A. and T. Teräsvirta (2007). "Multivariate GARCH Models." Working Paper Series in Economics and Finance 669, Stockholm School of Economics.
Shimer, R. (2012). "Reassessing the Ins and Outs of Unemployment." Review of Economic Dynamics, 15: 127-148.
Sims, C.A. and T. Zha (2006). �Were There Regime Switches in U.S. Monetary Policy?� American Economic Review, 96, 54-81.
Stock, J. and M. W. Watson (2002). �Has the Business Cycle Changed and Why?� NBER Macroeconomics Annual 2002, MIT Press.
White, H. (1996). "Estimation, Inference, and Speci�cation Analysis." Cambridge University Press, Cambridge, Econometric Society Monographs.