Real sectoral spillovers: A dynamic factor analysis of the great recession

• 成果类型: Article
• 署名作者: Li, Nan; Martin, Vance L.
• 署名单位: International Monetary Fund; University of Melbourne
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.10.002
• 发表日期: 2019
• 页码: 77-95
• 关键词: Intersectoral linkages; Dynamic factor models; spillovers; Real business cycles; Input-output structure

摘要

Dynamic factor methods are used to identify the impact of common and idiosyncratic shocks on sixteen U.S. nonfarm business sectors. This paper then studies changes in the transmission of these shocks across sectors during the Great Recession, and evaluates the cross-sectoral spillovers. The Great Recession is found to be largely a time of heightened impact of common shocks-which accounts for 3/4 of aggregate volatility-and large spillovers of negative finance-related shocks. In addition, prior to the Recession, aggregate fluctuations are mainly driven by sector-specific shocks, in contrast with findings from previous studies. (C) 2018 International Monetary Fund. Published by Elsevier B.V. All rights reserved,