A Mixed Frequency BVAR for the Euro Area Labour Market*
构建了一个混合频率贝叶斯VAR模型，用于预测欧元区劳动力市场关键变量（如就业增长），并识别2002至2022年间驱动劳动力市场波动的结构性冲击，尤其关注疫情期间技术冲击和工资谈判因素的作用。
Abstract We introduce a Bayesian mixed frequency VAR model for the aggregate euro area labour market that features a structural identification via sign restrictions. The purpose of this paper is twofold: we aim at (i) providing reliable and timely forecasts of key labour market variables and (ii) enhancing the economic interpretation of the main movements in the labour market. We find satisfactory results in terms of nowcasting and forecasting, especially for employment growth. Furthermore, we look into the shocks that drove the labour market and macroeconomic dynamics from 2002 to 2022, with an insight also on the COVID‐19 recession. While demand shocks were the main drivers during the Global Financial Crisis, technology and wage bargaining factors, reflecting the degree of lockdown‐related restrictions and job retention schemes, have been important drivers of key labour market variables during the pandemic.