Sectoral versus Aggregate Shocks: A Structural Factor Analysis of Industrial Production

• 成果类型: Article
• 署名作者: Foerster, Andrew T.; Sarte, Pierre-Daniel G.; Watson, Mark W.
• 署名单位: Duke University; Federal Reserve System - USA; Federal Reserve Bank - Richmond; Princeton University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/659311
• 发表日期: 2011
• 页码: 1-38
• 关键词: arbitrage; MODEL; real

摘要

Using factor methods, we decompose industrial production (IP) into components arising from aggregate and sector-specific shocks. An approximate factor model finds that nearly all of IP variability is associated with common factors. We then use a multisector growth model to adjust for the effects of input-output linkages in the factor analysis. Thus, a structural factor analysis indicates that the Great Moderation was characterized by a fall in the importance of aggregate shocks while the volatility of sectoral shocks was essentially unchanged. Consequently, the role of idiosyncratic shocks increased considerably after the mid-1980s, explaining half of the quarterly variation in IP.