Arbeitspapier
A mixed frequency BVAR for the euro area labour market
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 forecasting, especially when looking at quarterly variables, such as employment growth and the job finding rate. Furthermore, we look into the shocks that drove the labour market and macroeconomic dynamics from 2002 to early 2020, with a first insight also on the COVID-19 recession. While domestic and foreign demand shocks were the main drivers during the Global Financial Crisis, aggregate supply conditions and labour supply factors reflecting the degree of lockdown-related restrictions have been important drivers of key labour market variables during the pandemic.
- ISBN
-
978-92-899-4854-8
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2601
- Klassifikation
-
Wirtschaft
Forecasting Models; Simulation Methods
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Bayesian Analysis: General
- Thema
-
Labour market
Mixed Frequency Data
Bayesian VAR
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Consolo, Agostino
Foroni, Claudia
Martínez Hernández, Catalina
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2021
- DOI
-
doi:10.2866/88517
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Consolo, Agostino
- Foroni, Claudia
- Martínez Hernández, Catalina
- European Central Bank (ECB)
Entstanden
- 2021
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