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 timevarying 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 The Rimini Centre for Economic Analysis in its series Working Paper Series with number 12_11.
Date of creation: Feb 2011
Date of revision:
regional unemployment; structural VAR; factor model; monetary policy;
Other versions of this item:
- Korobilis, Dimitris & Gilmartin, Michelle, 2010. "The dynamic effects of U.S. monetary policy on state unemployment," MPRA Paper 27596, University Library of Munich, Germany.
- R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-12 (All new papers)
- NEP-CBA-2011-02-12 (Central Banking)
- NEP-GEO-2011-02-12 (Economic Geography)
- NEP-MAC-2011-02-12 (Macroeconomics)
- NEP-MON-2011-02-12 (Monetary Economics)
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