Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession
IMF Working Papers, May 9, 2018
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- Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession
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Bibliographic details
- Authors: Nan Li, Vance Martin
- Published: May 9, 2018
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484354582.001
Summary and main findings
- The paper studies changes in the transmission of common versus sectoral idiosyncratic shocks across different U.S. nonfarm business sectors during the Great Recession, and evaluates the cross-sectoral spillovers.
- Shocks are identified by dynamic factor methods.
- The Great Recession is 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 contrast with earlier literature that failed to find a significant role of sectoral shocks (propagated through the input-output linkages across sectors) in driving variability in aggregate industry output, this study allows spillovers of shocks to operate through other mechanisms intertemporally.
- Prior to the recession the majority of aggregate fluctuations is explained by sector-specific shocks.
Methods and analytical approach
- Identification of shocks: dynamic factor methods.
- Spillover channels: the study permits spillovers of shocks to operate through mechanisms intertemporally, beyond propagation through input-output linkages.
- Comparative perspective: contrasts findings for the Great Recession period with the pre-recession period, highlighting a shift from sector-specific to common-shock dominance.
Key statistics and publication metadata
- Authors: Nan Li, Vance Martin
- Publication date: May 9, 2018
- Series: Working Paper No. 2018/100
- Issue: 100
- Volume: 2018
- Pages: 52
- DOI: https://doi.org/10.5089/9781484354582.001
- ISBN: 9781484354582
- ISSN: 1018-5941
- Stock No: WPIEA2018100
Subjects and keywords
- Subject: Econometric analysis, Economic sectors, Factor models, Financial crises, Global financial crisis of 2008-2009, Manufacturing, Production, Production growth, Structural vector autoregression, Vector autoregression
- Keywords: aggregate output, contribution estimate, Dynamic Factor Models, factor demand, Factor models, FSW model, Global financial crisis of 2008-2009, GR period, hybrid model, Input-output Structure, Intersectoral Linkages, Manufacturing, period of the Great Recession, Production growth, Real Business Cycles, recession period, sector share distribution, share contribution, Spillovers, time series, transmission mechanism, Vector autoregression, WP
Source: Nan Li and Vance Martin, "Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession", IMF Working Papers 2018, 100 (2018).
Content in this bundle
- Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession, WP/18/100, May 2018