Aggregate Disturbances or Sectoral Shifts: Canadian Evidence

Jing Lu

Canadian Journal of Economics, 1997, vol. 30, issue 4, 910-21

Abstract: This paper is an empirical investigation of the relative importance of aggregate disturbances and sectoral shifts in the explanation of unemployment cycles in Canada. Two contributions are made in this paper. First, the identification of these two shocks is accomplished by the mean and the dispersion of industrial stock returns, respectively. Secondly, detailed discussions on the interindustry employment movement are provided and a corresponding dispersion is reexamined using quarterly data over three-digit industries. All results here indicate the insignificance of sectoral shifts in Canada.

Date: 1997
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