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Modelling the behaviour of unemployment rates in the US over time and across space

Author

Listed:
  • Mark J. Holmes

    () (Department of Economics, Waikato University, New Zealand)

  • Jesus Otero

    () (Facultad de Economia, Universidad del Rosario, Colombia)

  • Theodore Panagiotidis

    () (Department of Economics, University of Macedonia, Greece)

Abstract

Abstract 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.

Suggested Citation

  • Mark J. Holmes & Jesus Otero & Theodore Panagiotidis, 2013. "Modelling the behaviour of unemployment rates in the US over time and across space," Koç University-TUSIAD Economic Research Forum Working Papers 1315, Koc University-TUSIAD Economic Research Forum.
    • Handle: RePEc:koc:wpaper:1315
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    References listed on IDEAS

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    Cited by:

    1. Lahmiri, Salim, 2017. "Cointegration and causal linkages in fertilizer markets across different regimes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 181-189.

    More about this item

    Keywords

    Unemployment; market integration; speed of adjustment.;

    JEL classification:

    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • 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

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