Vacancy chains and the business cycle. Stringing together job-to-job transitions in micro data

2014 ◽  
Vol 35 (8) ◽  
pp. 1212-1235 ◽  
Author(s):  
Carlo Gianelle ◽  
Giuseppe Tattara
Keyword(s):  
Women Workers ◽  
Business Cycle ◽  
Labour Market ◽  
Bargaining Power ◽  
Chain Model ◽  
Micro Data ◽  
Content Type ◽  
Job Transitions ◽  
The Business Cycle ◽  
Vacancy Chains

Purpose – The purpose of this paper is to examine the dynamics of labour market flows over the business cycle through a vacancy chain model. It provides a direct computation of vacancy chains using micro data, empirically investigates the relationship between chain length and the characteristics of jobs and workers initiating the chain, and finally assesses the wage progression of workers moving along the chain. Design/methodology/approach – The paper draws on a longitudinal matched employer-employee database covering all employees in manufacturing in a large region of Italy. A transparent algorithm for vacancy chain computation is developed and standard econometric techniques are employed to analyze job-to-job transitions within identified chains. Findings – Vacancy chains account on average for more than one-third of total hires, and both the number and the length of chains are clearly pro-cyclical. Chains set in motion by women workers, young, old, blue collars, or employed by small firms tend to be shorter. There is a well-defined wage progression from the tail to the head of the chain, revealing that workers are sorted along chains according to skill and/or bargaining power. Research limitations/implications – There is a limited possibility of identifying separately individual ability and bargaining power. Practical implications – The vacancy chain methodology can increase the ability of policy makers to produce detailed maps of the labour market and identify worker profiles associated with poor outcomes and hence deserving special attention. Originality/value – For the first time, this paper operationalizes the vacancy chain approach on a large scale, at a very high level of detail, and over a long-time span.

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.

Government spending shocks and economic growth: additional evidence from cyclical behavior of fiscal policy

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Olumide Olusegun Olaoye ◽  
Ukafor Ukafor Okorie ◽  
Oluwatosin Odunayo Eluwole ◽  
Mahmood Butt Fawwad
Keyword(s):  
Economic Growth ◽  
Business Cycle ◽  
Government Spending ◽  
Generalized Method Of Moments ◽  
The State ◽  
Fiscal Policies ◽  
Asymmetric Effect ◽  
Content Type ◽  
Spending Shocks ◽  
The Business Cycle

PurposeThis study examines the asymmetric effect of government spending on economic growth in Nigeria over the period 1980–2017. Specifically, this study investigates whether the response of economic growth to government spending shocks differs according to the nature of shocks on them. In addition, the authors examine whether the stabilizing effects of fiscal policies are dependent on the state of the business cycle.Design/methodology/approachThe study adopts the linear fiscal reaction function in addition to the nonlinear regression model of Hatemi-J (2011, 2012), Granger and Yoon (2002), which allows us to separate negative shocks from positive shocks to government spending. Similarly, the authors adopt the generalized method of moments (GMM) techniques of Hansen (1982) to account for simultaneity and endogeneity problems inherent in dynamic model.FindingsThe authors’ findings reveal that there is evidence of asymmetry in the government spending–economic growth nexus in Nigeria over the period of study. Specifically, the authors find that the response of economic growth to government spending shocks differs according to the nature of shocks on them. More specifically, the study established that the stabilizing effects of fiscal policies are dependent on the state of the business cycle.Originality/valueUnlike the traditional method of modeling asymmetry, which adopts the simple inclusion of a squared government spending term or by the inclusion of a cubic government spending term, the model adopted in this study allows us to model shocks and show how the responses of economic growth to government expenditure differ according to the nature of shocks on them.

Risk assessment for financial accounting: modeling probability of default

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Tobias Filusch
Keyword(s):  
Markov Chain ◽  
Business Cycle ◽  
Markov Chain Model ◽  
Accounting Standards ◽  
Financial Accounting ◽  
Homogeneous Markov Chain ◽  
Chain Model ◽  
Probability Of Default ◽  
Content Type ◽  
Term Structures

Purpose This paper aims to introduce and tests models for point-in-time probability of default (PD) term structures as required by international accounting standards. Corresponding accounting standards prescribe that expected credit losses (ECLs) be recognized for the impairment of financial instruments, for which the probability of default strongly embodies the included default risk. This paper fills the research gap resulting from a lack of models that expand upon existing risk management techniques, link PD term structures of different risk classes and are compliant with accounting standards, e.g. offering the flexibility for business cycle-related variations. Design/methodology/approach The author modifies the non-homogeneous continuous-time Markov chain model (NHCTMCM) by Bluhm and Overbeck (2007a, 2007b) and introduces the generalized through-the-cycle model (GTTCM), which generalizes the homogeneous Markov chain approach to a point-in-time model. As part of the overall ECL estimation, an empirical study using Standard and Poor’s (S&P) transition data compares the performance of these models using the mean squared error. Findings The models can reflect observed PD term structures associated with different time periods. The modified NHCTMCM performs best at the expense of higher complexity and only its cumulative PD term structures can be transferred to valid ECL-relevant unconditional PD term structures. For direct calibration to these unconditional PD term structures, the GTTCM is only slightly worse. Moreover, it requires only half of the number of parameters that its competitor does. Both models are useful additions to the implementation of accounting regulations. Research limitations/implications The tests are only carried out for 15-year samples within a 35-year span of available S&P transition data. Furthermore, a point-in-time forecast of the PD term structure requires a link to the business cycle, which seems difficult to find, but is in principle necessary corresponding to the accounting requirements. Practical implications Research findings are useful for practitioners, who apply and develop the ECL models of financial accounting. Originality/value The innovative models expand upon the existing methodologies for assessing financial risks, motivated by the practical requirements of new financial accounting standards.

scholarly journals The Vietnamese business cycle in an estimated small open economy New Keynesian DSGE model

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Phuong V. Nguyen
Keyword(s):  
Business Cycle ◽  
Open Economy ◽  
Small Open Economy ◽  
Research Paper ◽  
New Keynesian ◽  
Dsge Model ◽  
Content Type ◽  
Business Cycle Fluctuations ◽  
Dynamic Stochastic ◽  
The Business Cycle

PurposeThe primary purpose of this paper is to investigate the sources of the business cycle fluctuations in Vietnam. To this end, the author develops a small open economy New Keynesian dynamic stochastic general equilibrium (SOE-NK-DSGE) model. Accordingly, this model includes various features, such as habit consumption, staggered price, price indexation, incomplete exchange-rate pass-through (ERPT), the failures of the law of one price (LOOP) and the uncovered interest rate parity. It is then estimated by using the Bayesian technique and Vietnamese data 1999Q1–2017Q1. Based on the estimated model, this paper analyzes the sources of the business cycle fluctuations in this emerging economy. Indeed, this research paper is the first attempt at developing and estimating the SOE-NK-DSGE model with the Bayesian technique for Vietnam.Design/methodology/approachA SOE-NK-DSGE model—Bayesian estimation.FindingsThis paper analyzes the sources of the business cycle fluctuations in Vietnam.Originality/valueThis research paper is the first attempt at developing and estimating the SOE-NK-DSGE model with the Bayesian technique for Vietnam.

Interbank financing and business cycle in Europe

2019 ◽  
Vol 46 (6) ◽  
pp. 1280-1291 ◽  
Author(s):  
Ly Kim Cuong ◽  
Vo Xuan Vinh
Keyword(s):  
Business Cycle ◽  
Banking Sector ◽  
Financial Structure ◽  
Policy Makers ◽  
Content Type ◽  
Level Data ◽  
The Business Cycle ◽  
The Stability ◽  
Liquidity Shock

Purpose The knowledge of the link between interbank financing and business cycle fluctuations is important in assessing the stability and soundness of the banking sector. The purpose of this paper is to investigate the simultaneous relationship between interbank financing and the business cycle with respect to the financial structure of the bank-based and market-based systems in European countries by using bank-level data from 2007 to 2011. Design/methodology/approach The study employs an innovative instrumenting technique with an instrument of the financial structure to address the simultaneous determination of interbank financing and the business cycle. Findings The results suggest that banks establish pro-cyclical interbank borrowing by increasing their interbank position during booms and reducing it during downturns. Bank-based system performs better in redistributing the liquidity in the economy than the market-based system when there are imperfectly correlated liquidity shocks across regions during the 2007–2009 financial crisis. Practical implications The improvement of banks’ liquidity risk management should be aligned with a specific financial system. The macro-prudential supervisor should require banks in the market-based system to disclose their interbank position on the extent of risk exposure during the liquidity shock period to stabilize the EU banking industry. Originality/value This study is the first to provide policy makers with some novel empirical results concerning the linkage among bank liquidity, the macroeconomic condition and financial structure.

Evaluating financial stress indicators: evidence from Indian data

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Sruti Mundra ◽  
Motilal Bicchal
Keyword(s):  
Financial Crisis ◽  
Business Cycle ◽  
Financial Stress ◽  
Stress Index ◽  
Stress Indicators ◽  
Content Type ◽  
Stress Indices ◽  
Macroeconomic Effect ◽  
The Business Cycle ◽  
Systemic Stress

Purpose The purpose of this study is to assess alternative financial stress indicators for India in terms of tracing crisis events, mapping with the business cycle and the macroeconomic effect of stress indices. Design/methodology/approach The study constructs the composite indicator of systemic stress of Hollo, Kremer and Lo Duca (2012) for India using two different methods for computing time-varying cross-correlation matrix, namely, exponentially weighted moving average (EWMA) and dynamic conditional correlation-generalized autoregressive conditional heteroscedasticity (DCC-GARCH). The derived indices are evaluated with widely used, equal variance and principal component weighting indices in terms of tracing stress events, mapping with the business cycles and the macroeconomic effect. For this purpose, the study identifies various episodes of financial stress and uses the business cycle dates in the sample covering from January 2001 to October 2018. Findings The results suggest that stress indices based on EWMA and DCC-GARCH accurately identify the well-known stress periods and capture the recession dates and show an adverse effect on economic activity. Primarily, the DCC-GARCH-based stress index emerges as a better indicator of stress because it efficiently locates all the major-minor events, traces the build-up of stress and reverts to the normal level during stable times. Practical implications The DCC-GARCH-based stress index is a very useful indicator for policymakers in regularly monitoring India’s financial conditions and providing timely identification of systemic stress to avoid adverse repercussion effects of the financial crisis. Originality/value The 2007–2008 financial crisis and subsequent recurrent instability in the financial markets highlighted the requirement for an appropriate financial stress indicator for a timely assessment of the system-wide financial stress. To the authors’ knowledge, this is the first study that incorporates the systemic nature of financial stress in the construction of stress indices for India and provides a holistic evaluation of the financial stress from an emerging country’s perspective.

scholarly journals Job separation rates of immigrants and natives in the UK during the Great Recession

2017 ◽  
Vol 38 (7) ◽  
pp. 1036-1054
Author(s):  
Dafni Papoutsaki
Keyword(s):  
Labour Market ◽  
Labour Force ◽  
The European Union ◽  
Market Outcomes ◽  
Content Type ◽  
Individual Level ◽  
The Great Recession ◽  
The Business Cycle ◽  
The Individual ◽  
The Uk

Purpose The purpose of this paper is to assess the probability of job separations of immigrants and natives in the UK before and during the economic crisis of 2008. Design/methodology/approach A mixed proportional hazard duration model with a semi-parametric piecewise constant baseline hazard is used on a data sample of inflows into employment. Findings It is found that the crisis increased the probability of exits to unemployment for all groups, while immigrants from the new countries of the European Union seemed to have the lowest hazard towards unemployment even after controlling for their demographic and labour market characteristics. More specifically, even when we account for the fact that they tend to cluster in jobs that are most vulnerable to the business cycle, they are still less likely to exit dependent employment than natives. However, this migrant group is adversely affected by the crisis the most. Research limitations/implications Possible implications of out-migration of the lower performers are discussed. Originality/value This paper makes use of the panel element of the UK Quarterly Labour Force Survey, and uses duration analysis on the individual level to assess the labour market outcomes of natives and immigrants in the UK.

The role of non-formal lifelong learning at different points in the business cycle

2018 ◽  
Vol 39 (2) ◽  
pp. 334-352 ◽  
Author(s):  
Helena Corrales-Herrero ◽  
Beatriz Rodríguez-Prado
Keyword(s):  
Business Cycle ◽  
Lifelong Learning ◽  
Labour Market Situation ◽  
Content Type ◽  
The Great Recession ◽  
Market Situation ◽  
The Business Cycle ◽  
The Individual ◽  
The Unemployed ◽  
The Impact

Purpose Despite the widely recognised importance of lifelong learning, there are mixed results on its causal economic impact. The purpose of this paper is to investigate how economic conditions change the composition of participants in non-formal lifelong learning and whether the business cycle is relevant for the impact of non-formal lifelong learning on employability. Design/methodology/approach Non-linear decomposition techniques and matching estimators based on multidimensional covariates are applied to the Spanish sample of the European Adult Education Survey. The analysis controls for background, human capital and personal traits and draws a distinction between unemployed and employed workers. Findings The results show major differences in the volume and composition of participants before and during the Great Recession. In addition, there is a business cycle dependence of the effectiveness of non-formal lifelong learning that varies with the individual labour market situation. While lifelong learning proves more effective for the unemployed in recessions, for the employed the impact is greater in expansions. Originality/value The paper provides new evidence on the scant results of the moderating effect of the business cycle on the impact of lifelong learning. The analysis is not restricted to training implemented within public programmes, but rather extends to any kind of non-formal lifelong learning undertaken by unemployed and employed workers. In this sense, the analysis provides information about the optimal moment to invest in lifelong learning from both the policymaker and individual as well as firm perspective.

Consumption, unemployment and the Great Recession

2016 ◽  
Vol 37 (4) ◽  
pp. 724-743
Author(s):  
Joaquín Alegre ◽  
Llorenç Pou
Keyword(s):  
Business Cycle ◽  
Great Recession ◽  
Job Loss ◽  
Consumption Smoothing ◽  
Content Type ◽  
The Great Recession ◽  
Household Members ◽  
The Business Cycle ◽  
Unemployment Spells ◽  
Unemployment Persistence

Purpose – The purpose of this paper is to test whether households with members that experience job loss shocks are able to protect their previous level of consumption. The paper also tests whether consumption protection is affected when spells persist through time. Design/methodology/approach – The paper estimates an intertemporal consumption model, where households try to smooth their marginal utility over time. For that purpose it analyses Spanish household budget surveys that span a long period, 1999-2012, including the Great Recession. Unlike most consumption datasets, this microdata is designed as a panel and provides detailed information for all consumption categories as well as household members’ labour status. Findings – The paper finds that consumption smoothing is dependent on the household member facing the unemployment transition. In particular, only main breadwinner’s unemployment transitions affects consumption smoothing. It also shows that the consumption drop persists beyond the period of the job loss for ongoing spells, although it follows a decreasing pattern. Finally, the estimation results are stable over the business cycle. Practical implications – The results suggest that Spanish households are not capable of fully insuring against main breadwinner’s unemployment shocks. Further, the results show that this effect remains up to two years for ongoing unemployment spells. Thus these results highlight a welfare loss by Spanish households with unemployed members. Originality/value – The paper extends the usual analysis of job loss shocks by the main breadwinner to include the cases of both the spouse and the rest of household members, who tend to account for most unemployment. Further, it tests for unemployment persistence. Finally, it checks the sensitivity of the results to the business cycle, including the Great Recession.

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