Date: 2008
Type: Article
Interpreting aggregate fluctuations looking at sectors
Journal of economic dynamics and control, 2008, Vol. 32, No. 9, pp. 3009-3031
ACCONCIA, Antonio, SIMONELLI, Saverio, Interpreting aggregate fluctuations looking at sectors, Journal of economic dynamics and control, 2008, Vol. 32, No. 9, pp. 3009-3031
- https://hdl.handle.net/1814/42760
Retrieved from Cadmus, EUI Research Repository
A dynamic factor model is used to investigate on the variability in labor productivity and hours across the 2-digit US manufacturing industries. Two kind of shocks emerge as quantitatively relevant during the postwar period. They can be reasonably interpreted as technology shocks to the production of equipment and economy-wide shocks. The former induces a positive correlation between productivity and hours growth rates in the durable-goods producing sector; the latter spurs a negative correlation in the nondurable-goods producing sector. Such evidence provides a novel interpretation of the aggregate near-zero correlation between the two variables.
Cadmus permanent link: https://hdl.handle.net/1814/42760
Full-text via DOI: 10.1016/j.jedc.2007.12.002
ISSN: 0165-1889
Keyword(s): C33 E32 O41 Dynamic factor model Long-run restriction Sectors Technology shock
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