The Dynamic Effects of U.S. Monetary Policy on State Unemployment
This 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.
|Date of creation:||Feb 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.rcfea.org
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chris Bloor & Troy Matheson, 2010.
"Analysing shock transmission in a data-rich environment: a large BVAR for New Zealand,"
Springer, vol. 39(2), pages 537-558, October.
- Chris Bloor & Troy Matheson, 2008. "Analysing shock transmission in a data-rich environment: A large BVAR for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/09, Reserve Bank of New Zealand.
- Michael Owyang & Howard Wall, 2009.
"Regional VARs and the channels of monetary policy,"
Applied Economics Letters,
Taylor & Francis Journals, vol. 16(12), pages 1191-1194.
- Gerald Carlino & Robert DeFina, 1997. "The differential regional effects of monetary policy: evidence from the U.S. States," Working Papers 97-12, Federal Reserve Bank of Philadelphia.
- Ben S. Bernanke & Alan S. Blinder, 1989.
"The federal funds rate and the channels of monetary transmission,"
89-10, Federal Reserve Bank of Philadelphia.
- Bernanke, Ben S & Blinder, Alan S, 1992. "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review, American Economic Association, vol. 82(4), pages 901-21, September.
- Ben Bernanke, 1990. "The Federal Funds Rate and the Channels of Monetary Transnission," NBER Working Papers 3487, National Bureau of Economic Research, Inc.
- Gary Koop & Dimitris Korobilis, 2009.
"Bayesian Multivariate Time Series Methods for Empirical Macroeconomics,"
Working Paper Series
47_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
- Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
- Koop, Gary & Korobilis, Dimitris, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," MPRA Paper 20125, University Library of Munich, Germany.
- Dimitris Korobilis, 2009.
"Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models,"
Working Paper Series
35_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
- Dimitris Korompilis, 2009. "Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models," Working Papers 0914, University of Strathclyde Business School, Department of Economics.
- Del Negro, Marco & Otrok, Christopher, 2007. "99 Luftballons: Monetary policy and the house price boom across U.S. states," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1962-1985, October.
- Timothy Cogley & Thomas J. Sargent, 2003.
"Drifts and volatilities: monetary policies and outcomes in the post WWII U.S,"
2003-25, Federal Reserve Bank of Atlanta.
- Timothy Cogley & Thomas J. Sargent, 2005. "Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 262-302, April.
- Timothy Cogley & Thomas Sargent, . "Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII US," Working Papers 2133503, Department of Economics, W. P. Carey School of Business, Arizona State University.
- Fabio Canova & Luca Gambetti, 2003.
"Structural changes in the US economy: is there a role for monetary policy?,"
Economics Working Papers
918, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2008.
- Canova, Fabio & Gambetti, Luca, 2009. "Structural changes in the US economy: Is there a role for monetary policy?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 477-490, February.
- Olivier Jean Blanchard & Lawrence F. Katz, 1992. "Regional Evolutions," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 23(1), pages 1-76.
- James H. Stock & Mark W. Watson, 2003. "Has the business cycle changed?," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 9-56.
- Durbin, James & Koopman, Siem Jan, 2001.
"Time Series Analysis by State Space Methods,"
Oxford University Press, number 9780198523543, March.
- Tom Doan, . "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- Sheila C. Dow & Alberto Montagnoli, 2007. "The Regional Transmission of UK Monetary Policy," Regional Studies, Taylor & Francis Journals, vol. 41(6), pages 797-808.
When requesting a correction, please mention this item's handle: RePEc:rim:rimwps:12_11. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marco Savioli)
If references are entirely missing, you can add them using this form.