Manfred M. Fischer, Florian Huber, Michael Pfarrhofer
arXiv 21 Jun 2018 · Econometrics
arXiv:1806.08278 · PDF · DOI · OpenAlex · Extracted main text
In this paper, we explore the relationship between state-level household income inequality and macroeconomic uncertainty in the United States. Using a novel large-scale macroeconometric model, we shed light on regional disparities of inequality responses to a national uncertainty shock. The results suggest that income inequality decreases in most states, with a pronounced degree of heterogeneity in terms of shapes and magnitudes of the dynamic responses. By contrast, some few states, mostly located in the West and South census region, display increasing levels of income inequality over time. We find that this directional pattern in responses is mainly driven by the income composition and labor market fundamentals. In addition, forecast error variance decompositions allow for a quantitative assessment of the importance of uncertainty shocks in explaining income inequality. The findings highlight that volatility shocks account for a considerable fraction of forecast error variance for most states considered. Finally, a regression-based analysis sheds light on the driving forces behind differences in state-specific inequality responses.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Baker et al (2016) Measuring Economic Policy Uncertainty | 1.000 | 5 | 3 | 100% |
| 2 | Bloom (2009) The Impact of Uncertainty Shocks | 0.874 | 5 | 2 | 100% |
| 3 | Pesaran et al (2004) Modeling regional interdependencies using a global error-correcting macroeconometric model | 0.644 | 2 | 2 | 100% |
| 4 | Carriero et al (2016) Measuring uncertainty and its impact on the economy | 0.644 | 2 | 2 | 100% |
| 5 | Jurado et al (2015) Measuring uncertainty | 0.644 | 2 | 2 | 100% |
| 6 | Mumtaz and Theophilopoulou (2017) The impact of monetary policy on inequality in the UK. An empirical analysis | 0.644 | 2 | 2 | 100% |
| 7 | Aguilar and West (2000) Bayesian dynamic factor models and portfolio allocation | 0.585 | 3 | 3 | 33% |
| 8 | Caldara et al (2016) The macroeconomic impact of financial and uncertainty shocks | 0.511 | 2 | 1 | 100% |
| 9 | McCracken and Ng (2016) FRED-MD: A Monthly Database for Macroeconomic Research | 0.511 | 2 | 1 | 100% |
| 10 | Fernández-Villaverde et al (2011) Risk Matters: The Real Effects of Volatility Shocks | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 30 scored citations.