Labor Market and Financial Shocks: A Time‐Varying Analysis

Francesco Corsello · Valerio Nispi Landi

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Monetary Policy and Economic Impact Market Dynamics and Volatility Unemployment and Economic Growth

Abstract

Abstract We estimate a time‐varying VAR model to analyze the effects of a financial shock on the U.S. labor market. We find that a tightening of financial conditions is highly detrimental to the labor market. We show that while negative financial shocks have been responsible for increases in unemployment, our model does not find significant contributions of financial shocks during periods of expansion. The source of this asymmetry is the time‐varying standard deviation of the identified shock, which is higher in times of financial distress; on the other hand, we find that the transmission mechanism does not significantly change over time.

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References

1997Credit Cycles 1994Job Creation and Job Destruction in the Theory of Unemployment 1999Chapter 21 The financial accelerator in a quantitative business cycle framework 2005Time Varying Structural Vector Autoregressions and Monetary Policy 2010A model of unconventional monetary policy 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 2012Credit Spreads and Business Cycle Fluctuations 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US

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