A lot of people live in areas where there really are few jobs, but they can't save up enough money to start a new life elsewhere and/or don't want to leave their friends/family/community.
In Phoenix, just being able to speak english will put your resume on the top of the pile if you're applying at McDonalds. Here in Eugene, even those jobs are competative, filled with educated college students. And this place is hardly economically depressed. If you live in some rural area where the one factory that employed half the town shuts down... ouch.
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