Modelling the behaviour of unemployment rates in the US over time and across space
AbstractAbstract This 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 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 InfoPaper provided by Koc University-TUSIAD Economic Research Forum in its series Koç University-TUSIAD Economic Research Forum Working Papers with number 1315.
Length: 32 pages
Date of creation: Jul 2013
Date of revision:
Unemployment; market integration; speed of adjustment.;
Other versions of this item:
- Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2013. "Modelling the behaviour of unemployment rates in the US over time and across space," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5711-5722.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-05 (All new papers)
- NEP-LAB-2013-08-05 (Labour Economics)
- NEP-MAC-2013-08-05 (Macroeconomics)
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