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

  • Bradley Ewing
  • William Levernier
  • Farooq Malik

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.

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File URL: http://college.holycross.edu/RePEc/eej/Archive/Volume31/V31N3P333_347.pdf
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Article provided by Eastern Economic Association in its journal Eastern Economic Journal.

Volume (Year): 31 (2005)
Issue (Month): 3 (Summer)
Pages: 333-347

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Handle: RePEc:eej:eeconj:v:31:y:2005:i:3:p:333-347
Contact details of provider: Postal: c/o Dr. Alexandre Olbrecht, The Anisfield School of Business 205, Ramapo College, 505 Ramapo Valley Road, Ramapo, New Jersey 07430, USA
Phone: (201) 684-7346
Web page: http://www.ramapo.edu/eea/journal.html
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  1. 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, vol. 23(4), pages 29-42, June.
  2. Rothman, Philip, 1988. "Further Evidence On The Asymmetric Behavior Of Unemployment Rates Over The Business Cycle," Working Papers 88-23, C.V. Starr Center for Applied Economics, New York University.
  3. Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-1, University of Pennsylvania, Wharton School, Weiss Center.
  4. 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.
  5. 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 1749-78, December.
  6. 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.
  7. 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.
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