Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/246178 
Year of Publication: 
2021
Series/Report no.: 
ECB Working Paper No. 2601
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
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.
Subjects: 
Labour market
Mixed Frequency Data
Bayesian VAR
JEL: 
J6
C53
C32
C11
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4854-8
Document Type: 
Working Paper

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