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

Nan Li and Vance Martin

Journal of Monetary Economics, 2019, vol. 107, issue C, 77-95

Abstract: 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.

Keywords: Intersectoral linkages; Dynamic factor models; Spillovers; Real business cycles; Input-output structure (search for similar items in EconPapers)
JEL-codes: C32 C67 E23 E32 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (7)

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Working Paper: Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:107:y:2019:i:c:p:77-95

DOI: 10.1016/j.jmoneco.2018.10.002

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