Employment comovements at the sectoral level over the business cycle

Steven Cassou and Jesús Vázquez Pérez

No 1988-088X, DFAEII Working Papers from University of the Basque Country - Department of Foundations of Economic Analysis II

Abstract: This paper extends the technique suggested by den Haan (2000) to investigate contemporaneous as well as lead and lag correlations among economic data for a range of forecast horizons. The technique provides a richer picture of the economic dynamics generating the data and allows one to investigate which variables lead or lag others and whether the lead or lag pattern is short term or long term in nature. The technique is applied to monthly sectoral level employment data for the U.S. and shows that among the ten industrial sectors followed by the U.S. Bureau of Labor Statistics, six tend to lead the other four. These six have high correlations indicating that the structural shocks generating the data movements are mostly in common. Among the four lagging industries, some lag by longer intervals than others and some have low correlations with the leading industries indicating that these industries are partially influenced by structural shocks beyond those generating the six leading industries.

Keywords: business cycles; sectoral employment comovement; leading and lagging sectors; forecast errors (search for similar items in EconPapers)
Date: 2009-12
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Journal Article: Employment comovements at the sectoral level over the business cycle (2014)
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Dpto. de Fundamentos del Análisis Económico II, = Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain

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