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The Dynamic Effects of U.S. Monetary Policy on State Unemployment

18 Pages Posted: 25 Dec 2010  

Dimitris Korobilis

University of Essex - Essex Business School

Michelle Gilmartin

affiliation not provided to SSRN

Date Written: December 17, 2010

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

JEL Classification: R15, C11, E52

Suggested Citation

Korobilis, Dimitris and Gilmartin, Michelle, The Dynamic Effects of U.S. Monetary Policy on State Unemployment (December 17, 2010). Available at SSRN: https://ssrn.com/abstract=1731042 or http://dx.doi.org/10.2139/ssrn.1731042

Dimitris Korobilis (Contact Author)

University of Essex - Essex Business School ( email )

Wivenhoe Park
Colchester, CO4 3SQ
United Kingdom

HOME PAGE: http://https://sites.google.com/site/dimitriskorobilis/

Michelle Gilmartin

affiliation not provided to SSRN ( email )

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