Identifying sectoral shocks and their role in business cycles

• 成果类型: Article
• 署名作者: De Graeve, Ferre; Schneider, Jan David
• 署名单位: KU Leuven
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2023.08.005
• 发表日期: 2023
• 页码: 124-141
• 关键词: SVAR; Sectoral shocks; production networks; business cycles

摘要

US business cycles can be empirically characterized as a time-varying mix of different sectoral shocks. Sectoral shocks are distinct from aggregate shocks and better capture business cycle fluctuations. A typical recession (or boom) is interpreted as the combination of a few sectoral shocks, which encompass more diverse origins than the typical narrative prevalent for that recession. Sectoral shocks have aggregate consequences through strong input-output network effects. Identification is based on network-implied heterogeneity restrictions in a FAVAR framework and far less dependent on specific DSGE calibrations compared to previous work.