This repository contains a series of API calls that pull and aggregate labor market time series data from the public sources using julia programming language. The script builds a big data frame used in my co-authored research paper 'Uncertainty and Labor Market Fluctuations' by Jo and Lee (2019), Federal Reserve Bank of Dallas Working Paper. Other research papers citing our research is documented by the Google Scholar. The dataframe is best used to evaluate the U.S. labor market in the application of macroeconomics and machine learning.
Use of this repository requires a citation of this repository and a note of proper authorships of myself and the cited papers noted in the code.
Application: Data overview used in Jo and Lee (2019)
The metrics calculated in the code use snippets translated from the MATLAB codes provided by the authors' research note below. All optimization processes uses julia's non-linear solver instead of MATLAB's fsolve.
| Data | Description | Data Source | Relevant Literature |
|---|---|---|---|
| Unemployment by duration and by reason | Unemployment by duration (weeks) by reasons | BLS | - |
| Claims of unemployment insurance | Initial and continuous claims of unemployment insurance | BLS/FRED | - |
| Employment: Part-time by reason | Part-timer employment statistics by reason (economic conditions) | BLS/FRED | - |
| Hours worked | Average hours worked for non-agricultural sector | BLS/FRED | - |
| Job finding statistics | Job finding and separation rate | CPS/JOLTS/FRED | Elsby et al. (2009) |
| Flow hazard rate | Flow of labor between different states | BLS/Elsby et al. (2009) | Elsby et al. (2009) |
| Transition probability | Probability of changing employment state/status | BLS/Borowczyk-Martins and Lalé (2019, 2020) | Borowczyk-Martins and Lalé (2019, 2020) |
| Data | Source | Data Pull Method | Aggregation |
|---|---|---|---|
| Unemployed less than 5 weeks | BLS/FRED | julia - FRED API | (level: UEMPLT5 / rate: LNS13008397) |
| Unemployed for 5 to 14 weeks | BLS/FRED | julia - FRED API | (level: UEMP5TO14 / rate: LNS13025701) |
| Unemployed for 15 weeks and over | BLS/FRED | julia - FRED API | (level: UEMP15OV / rate: U1RATE) |
| Average duration of unemployment | BLS/FRED | julia - FRED API | (level: UEMPMEAN) |
For those with specific reasons, as a percent of total unemployed,
| Data | Source | Data Pull Method | Aggregation |
|---|---|---|---|
| Job losers on layoff | BLS/FRED | julia - FRED API | (rate: LNS13023654) |
| Job losers not on layoff | BLS/FRED | julia - FRED API | (rate: LNS13026511) |
| Job leaver | BLS/FRED | julia - FRED API | (rate: LNS13023706) |
| Re-entrants | BLS/FRED | julia - FRED API | (rate: LNS13023558) |
| New entrants | BLS/FRED | julia - FRED API | (rate: LNS13023570) |
For those with unemployed less than 5 weeks, specifically,
| Data | Source | Data Pull Method | Aggregation |
|---|---|---|---|
| Initial Claims | BLS/FRED | julia - FRED API | (rate: ICSA) |
| Continuous Claims | BLS/FRED | julia - FRED API | (rate: CCSA) |
| Job loser | BLS | julia - BLS API | (level: LNU03023633) |
| Job leaver | BLS | julia - BLS API | (level: LNU03023717) |
| Re-entrants | BLS | julia - BLS API | (level: LNU03023581) |
| New entrants | BLS | julia - BLS API | (level: LNU03023585) |
The BLS series of unemployment by reasons are also broken down by different durations of unemployed.
Part-time employment count in non-agricultural sector, for,
| Data | Source | Data Pull Method | Aggregation |
|---|---|---|---|
| Economic reason | BLS/FRED | julia - FRED API | (level: LNS12032197) |
| Non-Economic reasons | BLS/FRED | julia - FRED API | (level: LNS12033182) |
| Data | Source | Data Pull Method | Aggregation |
|---|---|---|---|
| Average hours worked | BLS | julia - BLS API | (level: LNU02033235) |
With the collection of labor time series data, there are numerous applications to investigate the historical and real-time labor market and macroeconomic dynamics. Here is a growing list to explore in future research.
Hidden Markov Model for transition probability estimation
- State-space model implementation
- Recession predictor and space estimation of labor flow