Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/314047 
Year of Publication: 
2018
Citation: 
[Journal:] Journal of Applied Economics [ISSN:] 1667-6726 [Volume:] 21 [Issue:] 1 [Year:] 2018 [Pages:] 197-213
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
In state-of-the-art macroeconomic and labor market models shocks are assumed to be homoscedastic. However, we show that this assumption is much too restrictive. We estimate the conditional variance-covariance matrix using a VAR-DCC model and discuss the time-varying risk contained in a large set of labor market variables. We find significant evidence for strong time-varying volatility in all considered labor market time series. We observe that recessions tend to lead peaks of volatility for most variables. Further, the effect of the Great Moderation does not hold for all variables. We also find different effects of supply-side and demand-side recessions. The implications are relevant for modelling purposes, forecasting, welfare analysis, and the understanding of sources of fluctuations.
Subjects: 
Dynamic conditional correlation
multivariate GARCH
time-varying volatility
VAR-DCC
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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