Modelling the behaviour of unemployment rates in the US over time and across space
AbstractThis paper provides evidence that unemployment rates across US states are stationary and therefore behave according to the natural rate hypothesis. We provide new insights by considering the effect of key variables on the speed of adjustment associated with unemployment shocks. A highly-dimensional VAR analysis of the half-lives associated with shocks to unemployment rates in pairs of states suggests that the distance between states and vacancy rates respectively exert a positive and negative influence. We find that higher homeownership rates do not lead to higher half-lives. When the symmetry assumption is relaxed through quantile regression, support for the Oswald hypothesis through a positive relationship between homeownership rates and half-lives is found at the higher quantiles.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 392 (2013)
Issue (Month): 22 ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Unemployment; Market integration; Speed of adjustment;
Other versions of this item:
- Mark J. Holmes & Jesus Otero & Theodore Panagiotidis, 2013. "Modelling the behaviour of unemployment rates in the US over time and across space," KoÃ§ University-TUSIAD Economic Research Forum Working Papers 1315, Koc University-TUSIAD Economic Research Forum.
- Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2013. "Modelling the Behaviour of Unemployment Rates in the US over Time and across Space," Working Paper Series 39_13, The Rimini Centre for Economic Analysis.
- E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
- J60 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - General
- F15 - International Economics - - Trade - - - Economic Integration
- R10 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - General
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