Modelling the behaviour of unemployment rates in the US over time and across space
Mark Holmes (),
Jesus Otero () and
Theodore Panagiotidis ()
Koç University-TUSIAD Economic Research Forum Working Papers from Koc University-TUSIAD Economic Research Forum
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.
Keywords: Unemployment; market integration; speed of adjustment. (search for similar items in EconPapers)
JEL-codes: E24 J60 F15 R10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-lab and nep-mac
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Journal Article: Modelling the behaviour of unemployment rates in the US over time and across space (2013)
Working Paper: Modelling the Behaviour of Unemployment Rates in the US over Time and across Space (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:koc:wpaper:1315
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