DeFiPP Seminar

A mixed frequency model for the euro area labour

Abstract: 

In this paper we analyse labour market dynamics, with a twofold purpose of interpreting the main movements in the labour market variables through the lenses of structural shocks, and at the same time being able to produce reliable and economic interpretable forecasts. Further, we want to exploit the relevant information contained in the labour market flows. To do so, we use a mixed-frequency Bayesian VAR, which can incorporate the latest information and take into account monthly and quarterly data. We obtain satisfactory results in forecasting quarterly variables. From an economic perspective, we disentangle the shocks that explained the behaviour of the main economic variables, and, among other findings, we show the relevance of shocks originated in the labour market.

 

Contact : Romain Houssa - romain.houssa@unamur.be
Télecharger : vCal