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

Mark J. Holmes, Jesús Otero, Theodore Panagiotidis

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

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 the 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.

Original languageEnglish (US)
Pages (from-to)5711-5722
Number of pages12
JournalPhysica A: Statistical Mechanics and its Applications
Volume392
Issue number22
DOIs
StatePublished - Nov 15 2013

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Condensed Matter Physics

Fingerprint Dive into the research topics of 'Modelling the behaviour of unemployment rates in the US over time and across space'. Together they form a unique fingerprint.

Cite this