| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14389 |
| 来源ID | Working Paper 14389 |
| Sectoral vs. Aggregate Shocks: A Structural Factor Analysis of Industrial Production | |
| Andrew T. Foerster; Pierre-Daniel G. Sarte; Mark W. Watson | |
| 发表日期 | 2008-10-02 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | This paper uses factor analytic methods to decompose industrial production (IP) into components arising from aggregate shocks and idiosyncratic sector-specific shocks. An approximate factor model finds that nearly all (90%) of the variability of quarterly growth rates in IP are associated with common factors. Because common factors may reflect sectoral shocks that have propagated by way of input-output linkages, we then use a multisector growth model to adjust for the effects of these linkages. In particular, we show that neoclassical multisector models, of the type first introduced by Long and Plosser (1983), produce an approximate factor model as a reduced form. A structural factor analysis then indicates that aggregate shocks continue to be the dominant source of variation in IP, but the importance of sectoral shocks more than doubles after the Great Moderation (to 30%). The increase in the relative importance of these shocks follows from a fall in the contribution of aggregate shocks to IP movements after 1984. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Consumption and Investment ; Business Cycles |
| URL | https://www.nber.org/papers/w14389 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572064 |
| 推荐引用方式 GB/T 7714 | Andrew T. Foerster,Pierre-Daniel G. Sarte,Mark W. Watson. Sectoral vs. Aggregate Shocks: A Structural Factor Analysis of Industrial Production. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14389.pdf（363KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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