Regional differences in Canadian labour dynamics : a broad macroeconometric investigation




Chicoine, Alisha

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We examine the dynamics of Canadian labour markets using data from the Survey of Employment, Payroll, and Hours and the Labour Force Survey from Statistics Canada from 1961-2014. Using univariate, and multivariate Vector Autoregressive methodology, we estimate Impulse Response Functions and perform Granger non-causal tests to explore the relationships between wages, employment, and unemployment. We demonstrate the difference in analysis gained from regional definitions and assumptions regarding the heterogeneity of provinces within the Canadian regional context. Transitory labour supply shocks propagate different directions and magnitudes in wage growth in Quebec and unemployment growth in Manitoba, New Brunswick, and Nova Scotia when estimating Impulse Response Functions in the provincial trivariate VAR framework. We also find that there are statistically significant differences in the estimated parameters of regional multivariate VAR model specifications and corresponding restricted models, though these tests are not exhaustive.



Canada, Wages, Employment, Unemployment, Labour markets