The dynamic effects of U.S. monetary policy on state unemployment

Dimitris Korobilis and Michelle Gilmartin

MPRA Paper from University Library of Munich, Germany

Abstract: This paper studies the transmission of monetary shocks to state unemployment rates, within a novel structural factor-augmented VAR framework with a time-varying 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.

Keywords: regional unemployment; structural VAR; factor model; monetary policy (search for similar items in EconPapers)
JEL-codes: C11 C32 E52 R11 (search for similar items in EconPapers)
Date: 2010-12
New Economics Papers: this item is included in nep-cba, nep-geo, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Working Paper: The Dynamic Effects of U.S. Monetary Policy on State Unemployment (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:27596

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