Sectoral Effects of Aggregate Shocks

Nathan Balke

A chapter in 30th Anniversary Edition, 2012, pp 299-357 from Emerald Group Publishing Limited

Abstract: In this chapter, using a combination of long-run and sign restrictions to identify aggregate monetary and productivity factors, I find that the monetary factor is responsible for long swings in nominal variables but has little effect on fluctuations in output, real wage, or labor input growth. The productivity factor in addition to increasing output growth and real wage growth in the short and long run, also results in increases in labor input and decreases in prices, but the quantitative effect of the productivity factor on labor input is relatively small. These results are robust to the number of factors included in the model and to alternative priors about the short-run effects of the monetary factor, and to the inclusion of oil prices. Oil prices, in fact, appear to be largely driven by the other aggregate factors.

Keywords: Common factor model; Bayesian; sectoral data; long-run restrictions; monetary neutrality (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(2012)0000030015

DOI: 10.1108/S0731-9053(2012)0000030015

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