The dynamic effects of U.S. monetary policy on state unemployment
AbstractThis paper studies the transmission of monetary shocks to state unemployment rates, within a novel structural factor-augmented VAR framework with a time-varying propagation mechanism. We find evidence of large heterogeneity over time in the responses of state unemployment rates to monetary policy shocks, which do not necessarily comply with the response of the national unemployment rate. We also find evidence of heterogeneity over the spatial dimension, although geographical proximity seems to play an important role in the transmission of monetary shocks.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 27596.
Date of creation: Dec 2010
Date of revision:
regional unemployment; structural VAR; factor model; monetary policy;
Other versions of this item:
- Dimitris Korobilis & Michelle Gilmartin, 2011. "The Dynamic Effects of U.S. Monetary Policy on State Unemployment," Working Paper Series 12_11, The Rimini Centre for Economic Analysis.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- R11 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-03 (All new papers)
- NEP-CBA-2011-01-03 (Central Banking)
- NEP-GEO-2011-01-03 (Economic Geography)
- NEP-MAC-2011-01-03 (Macroeconomics)
- NEP-MON-2011-01-03 (Monetary Economics)
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