Labor market dynamics over the business cycle: evidence from Markov switching models

2011 ◽  
Vol 43 (1) ◽  
pp. 271-289 ◽  
Author(s):  
Jeremy Schwartz
Keyword(s):  
Labor Market ◽  
Business Cycle ◽  
Markov Switching ◽  
Market Dynamics ◽  
Markov Switching Models ◽  
Switching Models ◽  
Labor Market Dynamics ◽  
The Business Cycle

scholarly journals LABOR MARKET DYNAMICS UNDER TECHNOLOGY SHOCKS: THE ROLE OF SUBSISTENCE CONSUMPTION

2021 ◽  
pp. 1-29
Author(s):  
Sangyup Choi ◽  
Myungkyu Shim
Keyword(s):  
Labor Market ◽  
Business Cycle ◽  
Developing Economies ◽  
Structural Var ◽  
Market Dynamics ◽  
Technology Shocks ◽  
Structural Factors ◽  
Long Run ◽  
Labor Market Dynamics ◽  
Short Run

This paper establishes new stylized facts about labor market dynamics in developing economies, which are distinct from those in advanced economies, and then proposes a simple model to explain them. We first show that the response of hours worked and employment to a technology shock—identified by a structural VAR model with either short-run or long-run restrictions—is substantially smaller in developing economies. We then present compelling empirical evidence that several structural factors related to the relevance of subsistence consumption across countries can jointly account for the relative volatility of employment to output and that of consumption to output. We argue that a standard real business cycle (RBC) model augmented with subsistence consumption can explain the several salient features of business cycle fluctuations in developing economies, especially their distinct labor market dynamics under technology shocks.

Reforming the Labour Market in Good and Bad Times

2018 ◽  
Author(s):  
Britta Gehrke ◽  
Enzo Weber
Keyword(s):  
Time Series ◽  
Business Cycle ◽  
Labour Market ◽  
Markov Switching ◽  
Matching Theory ◽  
Market Reforms ◽  
Structural Reforms ◽  
Labour Market Reforms ◽  
Short Run ◽  
The Business Cycle

This chapter discusses how the effects of structural labour market reforms depend on whether the economy is in expansion or recession. Based on an empirical time series model with Markov switching that draws on search and matching theory, we propose a novel identification of reform outcomes and distinguish the effects of structural reforms that increase the flexibility of the labour market in distinct phases of the business cycle. We find in applications to Germany and Spain that reforms which are implemented in recessions have weaker expansionary effects in the short run. For policymakers, these results emphasize the costs of introducing labour market reforms in recessions.

scholarly journals A Markov-Switching VSTOXX Trading Algorithm for Enhancing EUR Stock Portfolio Performance

Mathematics ◽  
2021 ◽  
Vol 9 (9) ◽  
pp. 1030
Author(s):  
Oscar V. De la Torre-Torres ◽  
Evaristo Galeana-Figueroa ◽  
José Álvarez-García
Keyword(s):  
Markov Switching ◽  
Stock Index ◽  
Portfolio Performance ◽  
Trading Costs ◽  
Weighting Method ◽  
Treasury Bills ◽  
Markov Switching Models ◽  
Switching Models ◽  
Asset Portfolio ◽  
Stock Portfolio

In the present paper, we test the benefit of using Markov-Switching models and volatility futures diversification in a Euro-based stock portfolio. With weekly data of the Eurostoxx 50 (ESTOXX50) stock index, we forecasted the smoothed regime-specific probabilities at T + 1 and used them as the weighting method of a diversified portfolio in ESTOXX50 and ESTOSS50 volatility index (VSTOXX) futures. With the estimated smoothed probabilities from 9 July 2009 to 29 September 2020, we simulated the performance of three theoretical investors who paid different trading costs and invested in ESTOXX50 during calm periods (low volatility regime) or VSTOXX futures and the three-month German treasury bills in distressed or highly distressed periods (high and extreme volatility regimes). Our results suggest that diversification benefits hold in the short-term, but if a given investor manages a two-asset portfolio with ESTOXX50 and our simulated portfolios, the stock portfolio’s performance is enhanced significantly, in the long term, with the presence of trading costs. These results are of use to practitioners for algorithmic and active trading applications in ESTOXX50 ETFs and VSTOXX futures.

Sign in / Sign up

Export Citation Format

Share Document