## Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession

_IMF Working Papers, May 9, 2018_

## Source details

**Canonical URL:** [Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession](https://www.imf.org/en/publications/wp/issues/2018/05/09/real-sectoral-spillovers-a-dynamic-factor-analysis-of-the-great-recession-45866)

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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

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### 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).*

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## Content in this bundle

- **Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession, WP/18/100, May 2018**
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_Source: https://www.imf.org/en/publications/wp/issues/2018/05/09/real-sectoral-spillovers-a-dynamic-factor-analysis-of-the-great-recession-45866_