ESTIMATING COMMON SECTORAL CYCLES

• 成果类型: Article
• 署名作者: ENGLE, RF; ISSLER, JV
• 署名单位: Getulio Vargas Foundation; University of California System; University of California San Diego
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(94)01188-G
• 发表日期: 1995
• 页码: 83-113
• 关键词: real business cycles; common cycles; SECTORAL OUTPUTS; cointegration

摘要

We investigate in this paper the degree of short-run and long-run comovement in U.S. sectoral output data by estimating sectoral trends and cycles. A theoretical model based on Long and Plosser (1983) is used to derive a reduced form for sectoral outputs from first principles. Cointegration and common-cycle tests are performed; sectoral output data seem to share a relatively high number of common trends and a relatively low number of common cycles. A special trend-cycle decomposition of the data set is performed, and the results indicate a very similar cyclical behavior across sectors and very different behavior for trends. In a variance decomposition analysis, prominent sectors such as Manufacturing and Wholesale/Retail Trade exhibit relatively important transitory shocks.