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Research Article

Credit spread and employment growth – a time-varying relationship?

Figures & data

Figure 1. Data

Note: Employment growth in year-on-year per cent change, spread index in percentage points.
Figure 1. Data

Table 1. Log marginal likelihood for specifications i to iv.

Figure 2. Response of employment growth to shocks to credit spread

Note: Size of impulse is one standard deviation. Effect in percentage points on vertical axis, dates on horizontal axis and months on horizon.
Figure 2. Response of employment growth to shocks to credit spread

Figure 3. Response of credit spread to shocks to employment growth

Note: Size of impulse is one standard deviation. Effect in percentage points on vertical axis, dates on horizontal axis and months on horizon.
Figure 3. Response of credit spread to shocks to employment growth

Figure 4. Share of forecast error variance of employment growth explained by shocks to credit spread

Note: Share of forecast error variance explained on vertical axis, dates on horizontal axis and months on horizon.
Figure 4. Share of forecast error variance of employment growth explained by shocks to credit spread

Figure 5. Share of forecast error variance of credit spread explained by shocks to employment growth

Note: See .
Figure 5. Share of forecast error variance of credit spread explained by shocks to employment growth

Figure A1. Standard deviation of shocks to credit spread

Note: Time on horizontal axis and standard deviation of the shocks on vertical, 68% credible interval shaded.
Figure A1. Standard deviation of shocks to credit spread

Figure A2. Standard deviation to shocks to employment growth

Note: Time on horizontal axis and standard deviation of the shocks on vertical, 68% credible interval shaded.
Figure A2. Standard deviation to shocks to employment growth

Figure A3. Response of credit spread to shocks to credit spread

Note: See .
Figure A3. Response of credit spread to shocks to credit spread

Figure A4. Response of employment growth to shocks to employment growth

Note: See .
Figure A4. Response of employment growth to shocks to employment growth