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Modeling Unemployment Rates by Race and Gender: A Nonlinear Time Series Approach

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  • Bradley Ewing
  • William Levernier
  • Farooq Malik

Abstract

This paper presents an unemployment rate model that provides insight into how the time series behavior, in terms of both the mean and volatility, of the unemployment rates of black males, white males, black females, and white females differ. Demographic differences in the unemployment rate response are likely to occur if certain demographic groups face discrimination or if different demographic groups gave differing investments in human capital, for example. In addition, there may be differences in other characteristics of the groups, such as differences in the age of distribution or in the marital status distribution. This paper develops and estimates a model to determine whether or not differences in unemployment rate volatility among demographic groups actually exist, utilizing an ARCH-class (autoregressive conditional heteroscedasticity) model. The findings suggest that conditional variance is symmetric for white females, black females, and black males, but is asymmetric for white males. In particular, the findings indicate that innovations increase the conditional volatility changes in each group's unemployment rate and have symmetric effects for all groups except white males.

Suggested Citation

  • Bradley Ewing & William Levernier & Farooq Malik, 2005. "Modeling Unemployment Rates by Race and Gender: A Nonlinear Time Series Approach," Eastern Economic Journal, Eastern Economic Association, vol. 31(3), pages 333-347, Summer.
  • Handle: RePEc:eej:eeconj:v:31:y:2005:i:3:p:333-347
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    File URL: http://web.holycross.edu/RePEc/eej/Archive/Volume31/V31N3P333_347.pdf
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    References listed on IDEAS

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    1. Rothman, Philip, 1991. "Further evidence on the asymmetric behavior of unemployment rates over the business cycle," Journal of Macroeconomics, Elsevier, vol. 13(2), pages 291-298.
    2. James Payne & Bradley Ewing & Erik George, 1999. "Time series dynamics of US State unemployment rates," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1503-1510.
    3. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
    4. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-1778, December.
    5. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
    6. Thomas Hyclak & James Stewart, 1995. "Racial differences in the unemployment response to structural changes in local labor markets," The Review of Black Political Economy, Springer;National Economic Association, vol. 23(4), pages 29-42, June.
    7. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Citations

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    Cited by:

    1. Bredemeier, Christian & Juessen, Falko & Winkler, Roland, 2017. "Man-cessions, fiscal policy, and the gender composition of employment," Economics Letters, Elsevier, vol. 158(C), pages 73-76.
    2. Herve Queneau & Amit Sen, 2009. "Regarding the unemployment gap by race and gender in the United States," Economics Bulletin, AccessEcon, vol. 29(4), pages 2749-2757.
    3. Dimitrios Bakas & Evangelia Papapetrou, 2014. "Unemployment by Gender: Evidence from EU Countries," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(1), pages 103-111, February.
    4. repec:kap:iaecre:v:20:y:2014:i:1:p:103-111 is not listed on IDEAS
    5. Jorge Belaire-Franch & Amado Peiró, 2015. "Asymmetry in the relationship between unemployment and the business cycle," Empirical Economics, Springer, vol. 48(2), pages 683-697, March.
    6. Peiró, Amado & Belaire-Franch, Jorge & Gonzalo, Maria Teresa, 2012. "Unemployment, cycle and gender," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1167-1175.
    7. Queneau, Hervé & Sen, Amit, 2012. "On the structure of US unemployment disaggregated by race, ethnicity, and gender," Economics Letters, Elsevier, vol. 117(1), pages 91-95.

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