A1273
Title: Analyzing regional variation in the response to policy uncertainty shocks
Authors: Laura Jackson Young - Bentley University (United States) [presenting]
Michael Owyang - Federal Reserve Bank of St Louis (United States)
Abstract: A factor-augmented VAR (FAVAR) is estimated using a panel of monthly state- and national-level data to examine how policy uncertainty influences state-level economic conditions. The model includes three types of factors: a national factor, regional factors which model the correlation within a particular BEA region, and state-level factors which model the correlation across variables within a particular state. Measures of economic policy uncertainty are included, and the impulse responses of state-level employment, unemployment, manufacturing hours, and labor force participation are considered. Manufacturing employment share, export dependencies, and capital share are found to be important for explaining variation in state-level responses.
