Oil prices, labour market adjustment and dynamic quantile connectedness analysis: evidence from Greece during the crisis

Journal of Economic Structures

Research

Panagiotis Palaios¹  Evangelia Papapetrou² 

[1] Department of Accounting, Economics and Finance, The American College of Greece, Athens, Greece;Department of Economics, National and Kapodistrian University of Athens, 1 Sofokleous Str, 10559, Athens, Greece;Economic Research Department, Bank of Greece, Athens, Greece;

关键词: Oil prices;    Oil price uncertainty;    Interest rates;    Labour market;    Quantile connectedness;    C32;    E24;    E32;    Q43;   

DOI  :  10.1186/s40008-022-00291-7

 received in 2022-03-07, accepted in 2022-11-22,  发布年份 2022

来源: Springer

【 摘 要 】

This paper examines the spillover effects transmission mechanism between oil prices, oil price uncertainty and oil price volatility on labour market in Greece, using static and dynamic quantile connectedness methodology (Diebold and Yilmaz Diebold and Yilmaz, Int J Forecast 28:57–66, 2012; Ando et al. Ando T, Greenwood-Nimmo N, Shin Y (2018) ‘Quantile connectedness: Modelling tail behavior in the topology of financial networks’, Working Paper. https://ssrn.com/abstract=3164772.). There is empirical evidence that the oil price variable is the most influential node of the energy variables on hirings and firings, suggesting the endogeneity of the labour market variables. Rolling estimation analysis based on the quantile VAR to capture the volatility spillovers across the whole conditional distribution shows a large variation of the total connectedness index, which is responsive to exogenous adverse and beneficial shocks. Further, our results point to a strong effect due to the COVID-19 pandemic and the state intervention to sustain the pandemic on the labour market. Overall, the analysis reveals a substantial higher time-varying connectedness of the system at the tails of the distribution, indicating that changes in energy markets asymmetrically affect the Greek labour market in recessionary and flourishing states of the economy, rather than normal times.

【 授权许可】

CC BY   
© The Author(s) 2022

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