The Impact of Uncertainty Shocks on State-Level Employment

23 Pages Posted: 6 Apr 2022 Last revised: 12 May 2022

See all articles by William Hankins

William Hankins

Jacksonville State University, Alabama

Chak Hung Jack Cheng

University of South Carolina Upstate

Anna-Leigh Stone

Samford University

Date Written: February 22, 2022

Abstract

Using U.S. data over the period 1960Q3 - 2019Q4 we estimate a structural factor-augmented vector autoregressive model and find that a one standard deviation shock to macroeconomic uncertainty generates declines in state-level employment growth that range from -0.02 to -0.12 percentage points at their peak negative response. Cross-sectional regressions show that industry mix is an important channel through which uncertainty shocks affect employment growth. In particular, a state with a larger manufacturing sector experiences a larger decline in employment growth.

Keywords: FAVAR, Uncertainty, Employment, State-level Effects

JEL Classification: E24, J01, L60

Suggested Citation

Hankins, William and Cheng, Chak Hung Jack and Stone, Anna-Leigh, The Impact of Uncertainty Shocks on State-Level Employment (February 22, 2022). Journal of Macroeconomics, Vol. 73, 2022, Available at SSRN: https://ssrn.com/abstract=4041475 or http://dx.doi.org/10.2139/ssrn.4041475

William Hankins (Contact Author)

Jacksonville State University, Alabama ( email )

700 Pelham Rd N
Jacksonville, AL 36265
United States

Chak Hung Jack Cheng

University of South Carolina Upstate ( email )

Spartanburg, SC 29306
United States
8645035510 (Phone)

Anna-Leigh Stone

Samford University ( email )

800 Lakeshore Drive
Birmingham, AL 35229
United States

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