TY - JOUR
T1 - Modelling the behaviour of unemployment rates in the US over time and across space
AU - Holmes, Mark J.
AU - Otero, Jesús
AU - Panagiotidis, Theodore
N1 - Copyright:
Copyright 2013 Elsevier B.V., All rights reserved.
PY - 2013/11/15
Y1 - 2013/11/15
N2 - 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.
AB - 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.
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U2 - 10.1016/j.physa.2013.07.023
DO - 10.1016/j.physa.2013.07.023
M3 - Research Article
AN - SCOPUS:84883454196
SN - 0378-4371
VL - 392
SP - 5711
EP - 5722
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
IS - 22
ER -