Asymmetric volatility spillovers between the U.K. regional worker flows and vacancies

Abstract

ABSTRACTThis article investigates volatility spillovers between the U.K. regional job finding, job separation and vacancy rates. Employing a large Bayesian logistic smooth transition vector autoregression model, we find high volatility spillovers between the U.K. regional labour markets. Analyses of net spillovers show that, in general, shocks to job separation rates tend to spread into job finding and vacancy rates, while vacancy rates are usually at the receiving end of shocks transmitted from the job separations and job findings. To shed further light on the shock propagation mechanism, we also look into more detailed matters such as the differences in spillovers between regions within the same regime, and that of the same region but in different regimes.