A Mixed Frequency BVAR for the Euro Area Labour Market
Bibliographic Data
| ID | 21512904 |
|---|---|
| Authors | Agostino Consolo (0000-0001-7177-0377, European Central Bank Frankfurt Germany), Claudia Foroni (European Central Bank Frankfurt Germany), Catalina Martínez Hernández (0000-0002-9695-8605, European Central Bank Frankfurt Germany, corresponding author) |
| Year | 2023 |
| Volume | 85 |
| Issue | 5 |
| Pages | 1048-1082 |
| Publication date | 2023-10-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Oxford Bulletin of Economics and Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0305-9049 • E-ISSN: 1468-0084 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1111/obes.12555 |
| OpenAlex | W3205518911 |
| Language | EN |
| References cited | 44 |
We introduce a Bayesian mixed frequency VAR model for the aggregate euro area labour market that features a structural identification via sign restrictions. The purpose of this paper is twofold: we aim at (i) providing reliable and timely forecasts of key labour market variables and (ii) enhancing the economic interpretation of the main movements in the labour market. We find satisfactory results in terms of nowcasting and forecasting, especially for employment growth. Furthermore, we look into the shocks that drove the labour market and macroeconomic dynamics from 2002 to 2022, with an insight also on the COVID‐19 recession. While demand shocks were the main drivers during the Global Financial Crisis, technology and wage bargaining factors, reflecting the degree of lockdown‐related restrictions and job retention schemes, have been important drivers of key labour market variables during the pandemic
Bayesian probability · Bayesian vector autoregression · Econometrics · Economics · Labour economics · Macroeconomics · Nowcasting · Recession · Underemployment · Unemployment · Wage · Economic Policies and Impacts · Italy: Economic History and Contemporary Issues · Monetary Policy and Economic Impact
Equilibrium unemployment theory
Time Series Analysis by State Space Methods
Structural Vector Autoregressions
On Gibbs sampling for state space models
Shocks and Frictions in US Business Cycles
Large Bayesian VARs
Real-Time Forecasting With a Mixed-Frequency VAR
Forecasting with Bayesian Vector Autoregressions
Macroeconomic Forecasting With Mixed-Frequency Data
Unemployment Dynamics in the OECD
Unemployment Fluctuations with Staggered Nash Wage Bargaining
| Highly cited | No |
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