This is a rush transcript from "On the Record," July 14, 2010. This copy may not be in its final form and may be updated.

GRETA VAN SUSTEREN, FOX NEWS HOST: Well, Arizona is getting backup. Just hours ago, Michigan attorney general Mike Cox filed a legal brief signed by attorneys generals from eight other states and one U.S. territory. So where did he file it? And what does the brief say? Michigan Attorney General Cox joins us live.

Good evening, sir. So first of all, tell the viewers where this brief is being filed, or has been filed, sir?

MIKE COX, R-MICH., ATTORNEY GENERAL, GUBERNATORIAL CANDIDATE: Greta, we filed it in federal district court in Arizona, where the Obama administration is suing Governor Brewer and the citizens of Arizona. As you indicated, there's a total of nine states. And basically, we're standing up for the principle of state sovereignty, that the state of Arizona can address problems concurrently to the federal government, especially where the federal government isn't doing the job it's supposed to.

VAN SUSTEREN: All right, states are Florida, Alabama, Nebraska, Pennsylvania, South Carolina, South Dakota. Did I name them all? I guess I could look at the certificate of service. But -- and I think I named most of them, didn't I?

COX:  You got most of them. I think...

(CROSSTALK)

VAN SUSTEREN: ... Northern Marianas Islands -- I think I got them all -- Texas...

COX: Texas, Florida.

VAN SUSTEREN: So are any of the states that have filed these -- are any of them filed by Democrats, or are these all represented by Republicans?

COX: Right now, these are all Republican states. There's at least 10 other states who've said they wanted to jump in as this case progressed.

As you know, Greta, for attorney generals and governors (INAUDIBLE) very important principle, the idea that states are -- have important powers that are concurrent in our federal system. And the idea of state sovereignty, that the state can operate concurrently where the federal government isn't solving a localized problem, goes back, you know, 200 years to the founding. In fact, one of the great Supreme Court Justices of all time, Louis Brandeis, once said that it's a great incident (ph) of the federal system that states can experiment in ways that benefit the nation.

VAN SUSTEREN: All right, tell me the dynamics in your home state. You are running for governor against Congressman Hoekstra, who also wants it. Is -- you have a primary run-off (INAUDIBLE) Is he in agreement? Has he come out and said that he supports this or not?

COX: I haven't seen anything from Pete at all on this issue. I expect he probably does. But I can tell you that everywhere I go across the state of Michigan -- we are a border state, as well. People are very worried about what's going on in Arizona for two reasons, the idea that the federal government is falling down on the job and that Governor Brewer had to step up to attempt to fix a problem that the feds are supposed to be taking care of, and then generally, the idea of illegal immigration. You know, we had a terrorist attack, attempted terrorist attack over Christmas, and we are a border state and people are concerned, as they rightly should be.

VAN SUSTEREN: Have you spoken to Governor Brewer at all?

COX: Yes. We spoke for quite a while yesterday. She was very grateful that Michigan and eight other states were joining the fight, standing up for the idea that she's standing up for. You know, the reality is, is all Arizona is doing is mirroring what federal law already allows, this -- the reasonable suspicion or section 2, which says if a police officer has reasonable suspicion that someone's an illegal immigrant or undocumented, that they hold them to verify. That -- Congress passed a law saying that the attorney general of the United States, Eric Holder, should cooperate with this. Congress has contemplated that states and the federal government would work together in the way that Arizona is trying to do.

VIDEO: Watch Greta's interview with Mich. Attorney General Mike Cox

VAN SUSTEREN: If this is so obvious to you and the other Republicans who have joined in this, and of course, Arizona, why do you think President Obama and his Justice Department filed this lawsuit against Arizona?

COX: You know, Greta, I don't quite understand it. I think perhaps they're out of touch or they're defensive by the fact that they haven't done anything to move the ball. Or it could be very well what Senator McCain or -- I think said earlier, that it was a crass attempt to try and lock in the Hispanic vote going forward. I hope that's not the case because I expect there's a lot of Hispanics all across the country who want to stand up for the idea of secure borders and the idea that states ought to fend for their citizens when the federal government isn't.

VAN SUSTEREN: If you sort of step back, it's quite interesting what's going on in this country, I mean, the fact that your state is joining in Arizona, a bunch of Republican attorneys generals (INAUDIBLE) governors, and you've also got the same sort of lines drawn on the national health care, the pending lawsuits in Virginia and in Florida. I mean, it's very interesting how we have this dynamic (INAUDIBLE) such a divide and everyone's fighting it out quite aggressively right now.

COX: Well, I think it's really a matter where the federal government is saying to the states, You don't matter. You know, they want to control everything, whether it be health care policy, immigration policy, even when they're failing. And I think it's just a natural push-back by states saying, Hey, when the founders got together, they created this extensive system where there's a federal government and states. And there are powers reserved to the states and to the people as put forth in the 10th Amendment. And states have the right to assert their sovereignty. And we're certainly doing that in health care and we're standing up with Governor Brewer to do that here on immigration, especially where Arizona...

VAN SUSTEREN: Well...

COX: I'm sorry.

VAN SUSTEREN: I only have 30 seconds left. Let me ask you a quick question. Do you think it's more of a divide between state governments and state rights and the federal government or is it more of a divide between the Republicans and the Democrats?

COX: I think it's more the federal government and states. Oftentimes, whether it's fighting lemon laws or regulation of mortgage brokers, attorney generals and governors push back again the federal government. And so this is a natural tension that exists in our federal system, and a good one, especially where the federal government is letting down here in immigration and here we have a state stepping forward to try and protect its citizens.

VAN SUSTEREN: All right, one quick question. I've literally got 5 seconds. I'll get in trouble with my producer. But do you intend to go to the oral argument on this matter, which is later this month?

COX: No. We filed the amicus brief. We're not allowed time to oral -- for oral arguments...

VAN SUSTEREN: You're not going to attend that.

COX: Obviously, we'll be filing it.

VAN SUSTEREN: All right. Attorney General, thank you, sir.

COX: Thank you very much, Greta.